The General Random Walk

Sidney I. Resnick
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Sidney I. Resnick: Cornell University, School of Operations Research and Industrial Engineering

Chapter Chapter 7 in Adventures in Stochastic Processes, 2002, pp 558-612 from Springer

Abstract: Abstract WHAT IS this mathematical model called a random walk? Let {X n, n ≥ 1} be iid real valued random variables. Define S0 = 0, and for n ≥ 1 define S n = X 1 + … + X n. Then {S n , n ≥ 0} is a random walk. The random variables {X i } are called the steps of the random walk, and the distribution F(x) = P{X1 ≤ x} is called the step distribution.

Keywords: Random Walk; Renewal Process; Busy Period; Dual Pair; Step Distribution (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1007/978-1-4612-0387-2_7

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