International Journal of Stochastic Analysis

International Journal of Stochastic Analysis / 1988 / Article

Open Access

Volume 1 |Article ID 535607 | https://doi.org/10.1155/S1048953388000152

Ram Lal, U. Narayan Bhat, "Correlated random walks with stay", International Journal of Stochastic Analysis, vol. 1, Article ID 535607, 26 pages, 1988. https://doi.org/10.1155/S1048953388000152

Correlated random walks with stay

Abstract

A random walk describes the movement of a particle in discrete time, with the direction and the distance traversed in one step being governed by a probability distribution. In a correlated random walk (CRW) the movement follows a Markov chain and induces correlation in the state of the walk at various epochs. Then, the walk can be modelled as a bivariate Markov chain with the location of the particle and the direction of movement as the two variables. In such random walks, normally, the particle is not allowed to stay at one location from one step to the next. In this paper we derive explicit results for the following characteristics of the CRW when it is allowed to stay at the same location, directly from its transition probability matrix: (i) equilibrium solution and the fast passage probabilities for the CRW restricted on one side, and (ii) equilibrium solution and first passage characteristics for the CRW restricted on bath sides (i.e., with finite state space).

Copyright © 1988 Hindawi Publishing Corporation. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


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