0

Consider a gambling process $(X_n)_{n∈\mathbb{N}}$ on the state space $S = {0, 1, . . . , N}$, with probability
$p$, resp. $q$, of moving up, resp. down, at each time step. For $x = 0, 1, . . . , N$, let $τ_x$
denote the first hitting time, $τ_x := \inf\{n ≥ 0 : X_n = x\}$
Let $p_x := P(τ_{x+1} <...