Consider a simple random walk on the lattice $\mathbb Z^2$ starting at the origin $(0,0)$ where in each step, one of the four adjacent vertices in chosen uniformly at random, i.e. with probability $1/4$. I want to know the distribution of the time that it takes to hit a certain vertex $(x,y)$. I have already done quite some research on related work but so far I was not able to come up with a paper that gives an answer to my question. I would appreciate any hint towards a paper that covers this problem or a hint on how I can calculate it myself.

$\begingroup$ A good resource on simple random walks in general is "Random Walk a Modern Introduction", by Lawler and Limic. It's available for free on Lawler's website: math.uchicago.edu/~lawler/srwbook.pdf $\endgroup$– Jeremy VoltzNov 15, 2012 at 19:14
1 Answer
Oops, too long for a comment:
The expectation of the time until you reach a given point other than the origin is infinite already in one dimension. To see this, let $T$ be the expected time until you get from 0 to 1 (in the obvious 1dimensional setting). The first step is either to the left or to the right, and if you go to $1$, the expected remaining time is going to be $2T$ since you have to get back to the origin and then to 1. Consequently $T = 1 + 1/2\cdot (2T)$, from which we see that finite $T$ leads to contradiction. In higher dimensions it becomes even worse. Presumably you want to modify your question and ask about something like the distribution of the time (in dimensions 1 and 2 you actually get there!) or about the expected time to get from one point to another in a finite box.

$\begingroup$ Thank you for your answer! Apparently, I have not thought my question completely through, sorry for that. I think I am interested in the distribution of the time to reach a certain vertex. I'll adjust my question accordingly. $\endgroup$– carnageNov 15, 2012 at 16:28