Upcrossings of the random walk (Q1187236)

Let \(\{X_ n: n=0,1,\dots\}\) be a simple random walk and \(U\) be the number of upcrossings of the interval \([b,c]\) by \(\{X_ n\}\) until it leaves the interval \([a,d]\), where \(a<b<c<d\) are integers. \(E(U\mid X_ 0=i)\) is obtained in this note.