Abstract
For the simple symmetric one-dimensional random walk Sn we derive closed form and asymptotic formulas for E max(Sn,0), E|Sn|, E Mn, EMn2, cov(Sn,Mn) and the correlation coefficient of Sn and Mn, where Mn = max {0, S1,…,Sn}, using elementary material in Feller's classic textbook.
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