Generating functions for a class of one-dimensional random walks

1971 ◽  
Vol 8 (1) ◽  
pp. 110-117
Author(s):  
Ora Engelberg Percus ◽  
Jerome K. Percus
Keyword(s):  
Markov Chain ◽  
Random Walks ◽  
Generating Functions ◽  
One Dimensional ◽  
Asymptotic Evaluation

A weighted Markov chain technique is used to find the generating functions for several restricted one-dimensional random walks. Examples with simple restrictions concern the number of penetrations of a penetrable barrier. Examples with compound restrictions include the number of full crossings of the origin. A typical asymptotic evaluation is carried out.

Generating functions for a class of one-dimensional random walks

1971 ◽  
Vol 8 (01) ◽  
pp. 110-117
Author(s):  
Ora Engelberg Percus ◽  
Jerome K. Percus
Keyword(s):  
Markov Chain ◽  
Random Walks ◽  
Generating Functions ◽  
One Dimensional ◽  
Asymptotic Evaluation

A weighted Markov chain technique is used to find the generating functions for several restricted one-dimensional random walks. Examples with simple restrictions concern the number of penetrations of a penetrable barrier. Examples with compound restrictions include the number of full crossings of the origin. A typical asymptotic evaluation is carried out.

scholarly journals One dimensional quantum walks with memory

2010 ◽  
Vol 10 (5&6) ◽  
pp. 509-524
Author(s):  
M. Mc Gettrick
Keyword(s):  
Markov Chain ◽  
Random Walk ◽  
Random Walks ◽  
Quantum Walks ◽  
One Dimensional ◽  
With Memory ◽  
Previous Step

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.

Transition probability matrices for correlated random walks

1980 ◽  
Vol 17 (01) ◽  
pp. 253-258 ◽  
Author(s):  
R. B. Nain ◽  
Kanwar Sen
Keyword(s):  
Random Walk ◽  
Random Walks ◽  
Difference Equations ◽  
Generating Functions ◽  
Transition Probability ◽  
Correlated Random Walk ◽  
One Dimensional ◽  
Correlated Random Walks ◽  
Transition Probability Matrices ◽  
Probability Matrices

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.

scholarly journals Quantum random walks in one dimension via generating functions

2007 ◽  
Vol DMTCS Proceedings vol. AH,... (Proceedings) ◽  
Author(s):  
Andrew Bressler ◽  
Robin Pemantle
Keyword(s):  
Random Walks ◽  
Generating Functions ◽  
Nearest Neighbor ◽  
Function Analysis ◽  
One Dimension ◽  
Quantum Random Walks ◽  
Linear Speed ◽  
One Dimensional ◽  
Asymptotic Term ◽  
International Audience

International audience We analyze nearest neighbor one-dimensional quantum random walks with arbitrary unitary coin-flip matrices. Using a multivariate generating function analysis we give a simplified proof of a known phenomenon, namely that the walk has linear speed rather than the diffusive behavior observed in classical random walks. We also obtain exact formulae for the leading asymptotic term of the wave function and the location probabilities.

Transition probability matrices for correlated random walks

1980 ◽  
Vol 17 (1) ◽  
pp. 253-258 ◽  
Author(s):  
R. B. Nain ◽  
Kanwar Sen
Keyword(s):  
Random Walk ◽  
Random Walks ◽  
Difference Equations ◽  
Generating Functions ◽  
Transition Probability ◽  
Correlated Random Walk ◽  
One Dimensional ◽  
Correlated Random Walks ◽  
Transition Probability Matrices ◽  
Probability Matrices

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.

scholarly journals Markov chain approximation of one-dimensional sticky diffusions

2021 ◽  
Vol 53 (2) ◽  
pp. 335-369
Author(s):  
Christian Meier ◽  
Lingfei Li ◽  
Gongqiu Zhang
Keyword(s):  
Markov Chain ◽  
Approximate Solutions ◽  
Price Model ◽  
One Dimensional ◽  
Markov Chain Approximation ◽  
Alternative Approaches ◽  
Second Order Convergence ◽  
Chain Approximation ◽  
Matrix Exponentials ◽  
Interior Points

AbstractWe develop a continuous-time Markov chain (CTMC) approximation of one-dimensional diffusions with sticky boundary or interior points. Approximate solutions to the action of the Feynman–Kac operator associated with a sticky diffusion and first passage probabilities are obtained using matrix exponentials. We show how to compute matrix exponentials efficiently and prove that a carefully designed scheme achieves second-order convergence. We also propose a scheme based on CTMC approximation for the simulation of sticky diffusions, for which the Euler scheme may completely fail. The efficiency of our method and its advantages over alternative approaches are illustrated in the context of bond pricing in a sticky short-rate model for a low-interest environment and option pricing under a geometric Brownian motion price model with a sticky interior point.

Computer Simulations for Some One-Dimensional Models of Random Walks in Fluctuating Random Environment

2005 ◽  
Vol 121 (3-4) ◽  
pp. 361-372 ◽  
Author(s):  
C. Boldrighini ◽  
G. Cosimi ◽  
S. Frigio ◽  
A. Pellegrinotti
Keyword(s):  
Random Walks ◽  
Computer Simulations ◽  
Random Environment ◽  
One Dimensional ◽  
Dimensional Models

On coupling of random walks and renewal processes

1996 ◽  
Vol 33 (1) ◽  
pp. 122-126
Author(s):  
Torgny Lindvall ◽  
L. C. G. Rogers
Keyword(s):  
Random Walk ◽  
Random Walks ◽  
Simple Random Walk ◽  
Renewal Processes ◽  
Renewal Theorem ◽  
One Dimensional ◽  
Continuous State Space ◽  
Continuous State ◽  
Efficient Coupling ◽  
Blackwell's Renewal Theorem

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.

scholarly journals Limit theorems for some continuous-time random walks

2011 ◽  
Vol 43 (3) ◽  
pp. 782-813 ◽  
Author(s):  
M. Jara ◽  
T. Komorowski
Keyword(s):  
Markov Chain ◽  
Random Walk ◽  
Random Walks ◽  
Quantum Transport ◽  
Continuous Time ◽  
Limit Theorems ◽  
Transport Theory ◽  
Sufficient Conditions ◽  
Continuous Time Random Walks ◽  
Quantum Transport Theory

In this paper we consider the scaled limit of a continuous-time random walk (CTRW) based on a Markov chain {Xn,n≥ 0} and two observables, τ(∙) andV(∙), corresponding to the renewal times and jump sizes. Assuming that these observables belong to the domains of attraction of some stable laws, we give sufficient conditions on the chain that guarantee the existence of the scaled limits for CTRWs. An application of the results to a process that arises in quantum transport theory is provided. The results obtained in this paper generalize earlier results contained in Becker-Kern, Meerschaert and Scheffler (2004) and Meerschaert and Scheffler (2008), and the recent results of Henry and Straka (2011) and Jurlewicz, Kern, Meerschaert and Scheffler (2010), where {Xn,n≥ 0} is a sequence of independent and identically distributed random variables.

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