The speed of a general random walk reinforced by its recent history

Ross G. Pinsky

Stochastic Processes and their Applications, 2020, vol. 130, issue 8, 4793-4807

Abstract: We consider a class of random walks whose increment distributions depend on the average value of the process over its most recent N steps. We investigate the speed of the process, and in particular, the limiting speed as the “history window” N→∞.

Keywords: Random walk with reinforcement; Cramér’s theorem; Legendre–Fenchel transform (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spa.2020.01.017

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