We now look at a way of calculating the probability of ruin at any time . Remember that if denotes the time until ruin starting from , then is odd, and
where is the number of paths that start at and first have at . We will look at how to calculate .
Let be the number of paths from to . Let . Then
Since , is the number of upwards moves and is the number of downward moves needed for a path from to . We can divide into upward moves and downward moves and this is same as the number of possible combinations. ∎
Assume and . Let be the number of paths from to for which for some . Then
Consider a path from from to for which for some . Let be time when is first 0. Then we can map this path onto a path from to by reflecting the path between time and . Formally we define for and for .
For example consider a path with , and :
Now the key idea is that this mapping is a bijection between all paths from to and all paths from to that hit the value for some . Hence the number of the two sorts of paths are identical. ∎
The number of paths that start at and have ruin at is
Consider a picture of a path to ruin at :
To prove this result, first notice that for such a path . So we wish to count the number of paths from to that do not have for any . We count the number of such paths as:
‘the number of paths to ’ minus ‘the number of paths to which hit 0 ’
Thus
Using that we get
∎