回复：another way to look at Quant面试题：喝醉了（2.5星）

来源: crazy_math 于 2009-08-07 01:56:13 [] [旧帖] [给我悄悄话] 阅读数 : (488 bytes)

This is a first hitting time problem of the symmetric random walk.

Assume the poor drunk guy starts from n steps far away from left door(n
since M(t) here is martingale, it's easy to show that E[tau]=n(100-n), here we have n=1, therefore E[tau]=99.

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