I'm reading the section on random walks (3.9) in "Probability and random process" by Grimmet and Stirzaker. It says that the simple random walk is spatially homogenous, that is
$$P(S_n=j|S_0=a)=P(S_n=j+b|S_0=a+b)$$
Where $S_n=S_0+\sum_1^n X_i$. As proof, it says that both sides of the equation are equal to
$P(\sum_1^n X_i=j-a)$, but it seems to me that
$$P(\sum_1^n X_i=j-a)=P(S_n=j\cap S_0=a) \quad \text{and}\quad P(S_n=j|S_0=a)=\frac{P(\sum_1^n X_i=j-a)}{P(S_0=a)}$$
What am I missing?
Spatial homogeneity of simple random walk
probabilityrandom walk
Best Answer
The event $\sum_1^n X_i=j-a$ is equivalent to the event $S_n - S_0 = j-a$
The latter includes $S_n=j\cap S_0=a$ but also $S_n=j+1\cap S_0=a+1$ , etc
Hence your assertion $P(\sum_1^n X_i=j-a)=P(S_n=j\cap S_0=a)$ is wrong.