Probability

Random Walk

A process that moves by independent random steps, whose typical distance grows with the square root of time.

For a symmetric walk after n steps: expected position 0, variance n, so typical distance is of order sqrt(n). After 100 steps you are typically about 10 away, not 50.

Recurrence, a classic result: returns to the origin with probability 1 in one and two dimensions, but not in three (about 34%). A drunk man finds his way home; a drunk bird may not.

The subtlety. In one dimension return is certain, yet the expected time to return is infinite - the tail is that heavy. That combination is a good test of understanding "almost surely" versus "in reasonable time".

Full guide

Random Walks in Quant Interviews

Expected distance, recurrence, hitting times and reflection - the random-walk facts that come up repeatedly and the intuitions behind them.

Related terms

Practise this

Put it into practice

Knowing the definition is not the same as spotting where it applies under time pressure. Work the question bank free.

Start practising free

Browse the full quant interview glossary