Let be the probability that the game ends on 1 when the current position is .
We can easily verify that , and .
We also know that for ,
And for ,
We'll assume that is continuous and differentiable (and verify later).
We can therefore write that when ,
And when ,
These conditions can only be satisfied if is a constant. And with the boundary conditions of , , we obtain
(which is continuous and differentiable.)
Great job!
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Thanks :)
Math was always my favorite subject, I was just too chicken to go for a phd in it
Not sure if the proof I gave is the proof you had in mind
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You were smart for being chicken
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