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The correlated random walk

Published online by Cambridge University Press:  14 July 2016

Eric Renshaw  and
Robin Henderson
Eric Renshaw*
Affiliation:
University of Edinburgh
Robin Henderson*
Affiliation:
University of Edinburgh
*
∗Postal address: Department of Statistics, University of Edinburgh, James Clerk Maxwell Building, The King's Buildings, Mayfield Road, Edinburgh EH9 3JZ, U.K.
∗Postal address: Department of Statistics, University of Edinburgh, James Clerk Maxwell Building, The King's Buildings, Mayfield Road, Edinburgh EH9 3JZ, U.K.
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Abstract

A one-dimensional random walk is studied in which, at each stage, the probabilities of continuing in the same direction or of changing direction are p and 1 – p, respectively. Exact expressions are derived for the n-step transition probabilities, and various limiting distributions are investigated.

Keywords

CORRELATED RANDOM WALKOCCUPATION PROBABILITIESDIFFUSIONBESSEL FUNCTIONS
Type
Research Papers
Information
Journal of Applied Probability , Volume 18 , Issue 2 , June 1981 , pp. 403 - 414
Copyright
Copyright © Applied Probability Trust 

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