Correlated random walks with stay

Correlated random walks with stay

0.00 Avg rating0 Votes
Article ID: iaor1988681
Country: United States
Volume: 1
Issue: 3
Start Page Number: 197
End Page Number: 222
Publication Date: Mar 1988
Journal: Journal of Applied Mathematics and Stochastic Analysis
Authors: ,
Abstract:

A random walk describes the movement of a particle in discrete time, with the direction and the distance traversed in one step being governed by a probability distribution. In a correlated random walk (CRW) the movement follows a Markov chain and induces correlation in the state of the walk at various epochs. Then, the walk can be modelled as a bivariate Markov chain with the location of the particle and the direction of movement as the two variables. In such random walks, normally, the particle is not allowed to stay at one location from one step to the next. The paper derives explicit results for the following characteristics of the CRW when it is allowed to stay at the same location, directly from its transition probability matrix: (i) equilibrium solution and the first passage probabilities for the CRW restricted on one side, and (ii) equilibrium solution and first passage characteristics for the CRW restricted on both sides (i.e., with finite state space).

Reviews

Required fields are marked *. Your email address will not be published.