On coupling of random walks and renewal processes

1996 ◽  
Vol 33 (1) ◽  
pp. 122-126
Author(s):  
Torgny Lindvall ◽  
L. C. G. Rogers

The use of Mineka coupling is extended to a case with a continuous state space: an efficient coupling of random walks S and S' in can be made such that S' — S is virtually a one-dimensional simple random walk. This insight settles a zero-two law of ergodicity. One more proof of Blackwell's renewal theorem is also presented.

1996 ◽  
Vol 33 (01) ◽  
pp. 122-126
Author(s):  
Torgny Lindvall ◽  
L. C. G. Rogers

The use of Mineka coupling is extended to a case with a continuous state space: an efficient coupling of random walks S and S' in can be made such that S' — S is virtually a one-dimensional simple random walk. This insight settles a zero-two law of ergodicity. One more proof of Blackwell's renewal theorem is also presented.


1992 ◽  
Vol 29 (02) ◽  
pp. 305-312 ◽  
Author(s):  
W. Katzenbeisser ◽  
W. Panny

Let Qn denote the number of times where a simple random walk reaches its maximum, where the random walk starts at the origin and returns to the origin after 2n steps. Such random walks play an important role in probability and statistics. In this paper the distribution and the moments of Qn , are considered and their asymptotic behavior is studied.


2010 ◽  
Vol 10 (5&6) ◽  
pp. 509-524
Author(s):  
M. Mc Gettrick

We investigate the quantum versions of a one-dimensional random walk, whose corresponding Markov Chain is of order 2. This corresponds to the walk having a memory of one previous step. We derive the amplitudes and probabilities for these walks, and point out how they differ from both classical random walks, and quantum walks without memory.


1980 ◽  
Vol 17 (01) ◽  
pp. 253-258 ◽  
Author(s):  
R. B. Nain ◽  
Kanwar Sen

For correlated random walks a method of transition probability matrices as an alternative to the much-used methods of probability generating functions and difference equations has been investigated in this paper. To illustrate the use of transition probability matrices for computing the various probabilities for correlated random walks, the transition probability matrices for restricted/unrestricted one-dimensional correlated random walk have been defined and used to obtain some of the probabilities.


2014 ◽  
Vol 28 (29) ◽  
pp. 1450201
Author(s):  
Seung Ki Baek ◽  
Hawoong Jeong ◽  
Seung-Woo Son ◽  
Beom Jun Kim

The investigation of random walks is central to a variety of stochastic processes in physics, chemistry and biology. To describe a transport phenomenon, we study a variant of the one-dimensional persistent random walk, which we call a zero-one-only process. It makes a step in the same direction as the previous step with probability p, and stops to change the direction with 1 − p. By using the generating-function method, we calculate its characteristic quantities such as the statistical moments and probability of the first return.


2014 ◽  
Vol 51 (4) ◽  
pp. 1065-1080 ◽  
Author(s):  
Massimo Campanino ◽  
Dimitri Petritis

Simple random walks on a partially directed version ofZ2are considered. More precisely, vertical edges between neighbouring vertices ofZ2can be traversed in both directions (they are undirected) while horizontal edges are one-way. The horizontal orientation is prescribed by a random perturbation of a periodic function; the perturbation probability decays according to a power law in the absolute value of the ordinate. We study the type of simple random walk that is recurrent or transient, and show that there exists a critical value of the decay power, above which it is almost surely recurrent and below which it is almost surely transient.


2007 ◽  
Vol 09 (04) ◽  
pp. 585-603 ◽  
Author(s):  
NOGA ALON ◽  
ITAI BENJAMINI ◽  
EYAL LUBETZKY ◽  
SASHA SODIN

We compute the mixing rate of a non-backtracking random walk on a regular expander. Using some properties of Chebyshev polynomials of the second kind, we show that this rate may be up to twice as fast as the mixing rate of the simple random walk. The closer the expander is to a Ramanujan graph, the higher the ratio between the above two mixing rates is. As an application, we show that if G is a high-girth regular expander on n vertices, then a typical non-backtracking random walk of length n on G does not visit a vertex more than [Formula: see text] times, and this result is tight. In this sense, the multi-set of visited vertices is analogous to the result of throwing n balls to n bins uniformly, in contrast to the simple random walk on G, which almost surely visits some vertex Ω( log n) times.


1992 ◽  
Vol 29 (01) ◽  
pp. 37-45 ◽  
Author(s):  
Richard L. Smith

The paper presents a method of computing the extremal index for a discrete-time stationary Markov chain in continuous state space. The method is based on the assumption that bivariate margins of the process are in the domain of attraction of a bivariate extreme value distribution. Scaling properties of bivariate extremes then lead to a random walk representation for the tail behaviour of the process, and hence to computation of the extremal index in terms of the fluctuation properties of that random walk. The result may then be used to determine the asymptotic distribution of extreme values from the Markov chain.


1996 ◽  
Vol 33 (2) ◽  
pp. 311-330 ◽  
Author(s):  
W. Katzenbeisser ◽  
W. Panny

In a famous paper, Dwass (1967) proposed a method to deal with rank order statistics, which constitutes a unifying framework to derive various distributional results. In the present paper an alternative method is presented, which allows us to extend Dwass's results in several ways, namely arbitrary endpoints, horizontal steps and arbitrary probabilities for the three step types. Regarding these extensions the pertaining rank order statistics are extended as well to simple random walk statistics. This method has proved appropriate to generalize all results given by Dwass. Moreover, these discrete time results can be taken as a starting point to derive the corresponding results for randomized random walks by means of a limiting process.


1996 ◽  
Vol 33 (02) ◽  
pp. 331-339 ◽  
Author(s):  
W. Böhm ◽  
W. Panny

In this paper various statistics for randomized random walks and their distributions are presented. The distributional results are derived by means of a limiting procedure applied to the pertaining discrete time process, which has been considered in part I of this work (Katzenbeisser and Panny 1996). This basic approach, originally due to Meisling (1958), seems to offer certain technical advantages, since it avoids the use of Laplace transforms and is even simpler than Feller's randomization technique.


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