Saddlepoint approximation to the distribution of the total distance of the continuous time random walk

Riccardo Gatto ()
Additional contact information
Riccardo Gatto: Institute of Mathematical Statistics and Actuarial Science, Department of Mathematics and Statistics, University of Bern

The European Physical Journal B: Condensed Matter and Complex Systems, 2017, vol. 90, issue 12, 1-13

Abstract: Abstract This article considers the random walk over Rp, with p ≥ 2, where a given particle starts at the origin and moves stepwise with uniformly distributed step directions and step lengths following a common distribution. Step directions and step lengths are independent. The case where the number of steps of the particle is fixed and the more general case where it follows an independent continuous time inhomogeneous counting process are considered. Saddlepoint approximations to the distribution of the distance from the position of the particle to the origin are provided. Despite the p-dimensional nature of the random walk, the computations of the saddlepoint approximations are one-dimensional and thus simple. Explicit formulae are derived with dimension p = 3: for uniformly and exponentially distributed step lengths, for fixed and for Poisson distributed number of steps. In these situations, the high accuracy of the saddlepoint approximations is illustrated by numerical comparisons with Monte Carlo simulation.

Date: 2017
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1140/epjb/e2017-80228-y Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eurphb:v:90:y:2017:i:12:d:10.1140_epjb_e2017-80228-y

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/10051

DOI: 10.1140/epjb/e2017-80228-y

Access Statistics for this article

The European Physical Journal B: Condensed Matter and Complex Systems is currently edited by P. Hänggi and Angel Rubio

More articles in The European Physical Journal B: Condensed Matter and Complex Systems from Springer, EDP Sciences
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().