How far does a simple random walk go in n steps? E|X_n| = ?

[@olegt962]

Nice. I studied (continuous) stochastic calculus and I found it tricky to think about martingales with discrete domain 😅

[@kesavanandm9109]

I went about this like... If the process starts at 0, by CLT for sufficiently large n, Xn = N(0, sqrt(n)). |Xn| must be the folded normal distribution whose E(|Xn|) = sqrt(n).sqrt(2/pi).

[@MihaiNicaMath]

This is great! I'm not sure why this never occured to me....