Spitzer's identity for discrete random walks

\u3cp\u3eSpitzer's identity describes the position of a reflected random walk over time in terms of a bivariate transform. Among its many applications in probability theory are congestion levels in queues and random walkers in physics. We present a derivation of Spitzer's identity for random walks with bounded jumps to the left, only using basic properties of analytic functions and contour integration. The main novelty is a reversed approach that recognizes a factored polynomial expression as the outcome of Cauchy's formula.\u3c/p\u3

Spitzer's identity for discrete random walks

Spitzer's identity describes the position of a reflected random walk over time in terms of a bivariate transform. Among its many applications in probability theory are congestion levels in queues and random walkers in physics. We present a derivation of Spitzer's identity for random walks with bounded jumps to the left, only using basic properties of analytic functions and contour integration. The main novelty is a reversed approach that recognizes a factored polynomial expression as the outcome of Cauchy's formula.</p