Multidimensional random walk with reflections

Judith Kloas and Wolfgang Woess

Stochastic Processes and their Applications, 2019, vol. 129, issue 1, 336-354

Abstract: Reflected random walk in higher dimension arises from an ordinary random walk (sum of i.i.d. random variables): whenever one of the reflecting coordinates becomes negative, its sign is changed, and the process continues from that modified position. One-dimensional reflected random walk is quite well understood from work in 7 decades, but the multidimensional model presents several new difficulties. Here we investigate recurrence questions.

Keywords: Reflected random walk; Recurrence; Invariant measure; Local contractivity; Stochastic iterated function system (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spa.2018.03.003

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