Joint densities for random walks in the plane

George H. Weiss and Uri Shmueli

Physica A: Statistical Mechanics and its Applications, 1987, vol. 146, issue 3, 641-649

Abstract: We point out the existence of computationally convenient techniques for calculating the joint probability density for the position of a Pearson random walk after n steps. A new Fourier-Bessel function expansion for pn(r, θ) is developed for this purpose which does not require radial symmetry, but does require that pn(r, θ) = 0 when r exceeds some maximum radius, R.

Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:146:y:1987:i:3:p:641-649

DOI: 10.1016/0378-4371(87)90289-5

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