Estimates on Escape Times for the Elephant Random Walk

We study the gambler’s ruin problem for the Elephant Random Walk, focusing on escape time from a symmetric interval of the form $\{-N,\dots ,N\}$. As our main result, we derive tight exponential bounds for the tail of this escape time. We then illustrate the usefulness of such bounds by proving that, in the diffusive regime, the Elephant’s average behavior mirrors that of the traditional symmetric random walk: the expected escape time grows quadratically with $N$.