All Questions
Tagged with stochastic-processes random-walks
31 questions with no upvoted or accepted answers
7
votes
0
answers
144
views
Random walk on $\mathbf{Z}_d$ with Jacobi $\theta$ transition probabilities
In the context of a finite-dimensional quantum mechanical problem, I was led to study the random walk on $\mathbf{Z}_d$ (i.e the integers modulo $d$), $d$ odd with transition probabilities given by:
$...
6
votes
0
answers
183
views
Distribution of the stopping time of an autoregressive sequence
Consider $e_t$ being i.i.d. uniformly chosen from $\pm 1$. Let $\eta$ be a small positive constant. What is the distribution of $T$ such that $\eta^{0.5} (1+\eta)^T W_T$ first hits $\pm 1$, in which
$$...
- 1,127
5
votes
0
answers
112
views
Discrete random walk in an expanding cage (i.e. in a growing domain)
In the book "A guide to First-Passage Processes" by Sidney Redner, a section is dedicated to the survival probability of a random walker in a growing domain.
For a fixed-length interval $[0,...
- 274
5
votes
0
answers
130
views
Random process on a sequence of rolls of an $n$-sided die
Let $\ X:=X_{k\,n}\ $ be a random variable of a $n$-sided die where $\Pr(X=i)=\frac{1}{n}$ for each $i\in\{1,2,\ldots,n\},\ $ where $\ k\in\{1, 2, \ldots,n\}\ $ and $\ n\ $ are fixed. Let $t$ be a ...
- 83
5
votes
0
answers
485
views
Hierarchical Random Walk (also known as Hierarchical Hidden Markov Model)
Let us consider the following hierarchical (recursive) random walk model, which is also known as the hierarchical hidden Markov model in computer science (https://en.wikipedia.org/wiki/...
- 1,127
5
votes
0
answers
95
views
Most visited vertex in a random walk with place dependent drift
Consider the following Markov chain on $\mathbb{Z}$:
$$
P(x,x+1)=1-P(x,x-1)=\frac{1}{2}+e^{-|x|}\cdot \mathbf{1}_{\{x\neq 0\}}
$$
Do there exist constants $c,C>0$ such that
$$
c\cdot P^t(z,z) \...
- 527
4
votes
0
answers
73
views
Small angles between independent centred random walks in $ \mathbb{Z}^d$
Let $W_n$ and $W'_n$ denote two independent random walks in $ \mathbb{Z}^d$ defined using a finitely supported centred (mean zero) probability measure on $\mathbb{Z}^d$.
For $N \ge 1$, let
$\theta_n$ ...
- 6,224
4
votes
0
answers
142
views
A random walk/ruin theory problem with steps whose distribution has infinite mean
In what follows, I will make liberal use of the notations and terminology from ruin theory, just because I think it makes matters more intuitive. However, the problem I'm posing does not depend on its ...
- 141
4
votes
0
answers
229
views
Self-adjusting random walk
Let $X_t$ be a random process such that
\begin{eqnarray}
X_1 &=& 0\\
X_t &=& X_{t-1} + \left\{\begin{array}{ll}
A_t, & X_{t-1} \geq 0\\
B_t, & X_{t-1} < 0
\end{array}\...
- 93
4
votes
0
answers
158
views
Using Crump-Mode-Jagers processes to get logarithmic bound on a random tree height
I am currently pursuing my PhD degree and in my research I came across a family of random trees. I need to prove a logarithmic asymptotic bound for the heights of such trees as their size grows. I ...
- 41
3
votes
0
answers
81
views
Random walk in a switching scenery
For each $x \in \mathbf{Z}$ let $(\eta_t(x))_{t\geq0}$ denote independent copies of a process $(\eta_t(0))_{t\geq0}$ defined as follows. The process $\eta_t(0)$ takes values in $\{-1,1\}$, where $-1$ ...
- 91
3
votes
0
answers
330
views
Random walk on $\mathbb{R}$ with "sticky" origin
Let $P_i$, $N_i$, and $Z_i$, $i\in\mathbb{N}$ be r.v.'s with the $P_i$, $N_i$, and $Z_i$ being identically distributed with known pdf's $f_P$, $f_N$, and $f_Z$, respectively; and with no dependence ...
- 313
2
votes
0
answers
80
views
Bound from above and from below the probability that a 1-D centered random walk remains at each step inside a square root boundary
Let $W_n = \sum_{i = 1}^{n}X_i$ be a random walk on $\mathbb{R}$, where the increments $X_i$ are i.i.d., symmetric around the origin ($X\sim -X$), such that $-1\leq |X(\omega)| \leq 1$ $\forall\omega\...
- 63
2
votes
0
answers
114
views
Asymptotic Independence of random walks from increments?
Suppose we have two random walks $(S_n:n\geq 1)$ and $(T_n:n\geq 1)$ building from independent identically distributed increment vectors $\{(X_k,Y_k):k\geq 1\}$, i.e. $S_n=\sum_{k=1}^n X_k, T_n=\sum_{...
- 715
2
votes
0
answers
193
views
If the operators $B_i'$ satisfy an inequality, prove that $B_1'+\dotsb+ B_n'$ also satisfies the same inequality
Related: On a deceptively tricky calculus problem.
The way that Leonard Gross proves the log Sobolev inequality is in the following stages:
He proves that for any operator $B$ that satisfies the log ...
- 90
2
votes
0
answers
78
views
A question on the convex hull of independent random walks
Consider $m$ independent random walks $X^1_n, \dots, X^m_n$ driven by a probability measure $\mu$ in $ \mathbb{Z}^d$. Assume that the $\mu$ has no drift, that is, the expected value of a $\mu$-...
- 6,224
2
votes
0
answers
63
views
hitting probabilities of oriented random walk
Consider a random walk on $\mathbb{Z}^2$, starting at $(0,0)$. Each step it moves rightwards with probability $p$ and upwards with probability $q=1-p$. The random walk terminates when it hits the ...
- 640
1
vote
0
answers
41
views
Asymptotic mixing time and Euclidean probability distance for path graphs
We are given a simple path graph $P(V,E)$ with vertex set $V$ and edge set $E$, having $n=|V|$ nodes. Given an initial distribution $\mathbf{\mu}$ over $V$, let $d_t(\mathbf{\mu},\pi)$ be defined as $\...
- 1,677
1
vote
1
answer
284
views
Rate of convergence to uniform distribution
Let $p=(p(1),\ldots,p(N))$ be a discrete distribution on $[N]:=\{1,2,\ldots,N\}$ with full support (i.e all the $p(i)$'s are strictly positive and sum to $1$). Let $i_1,i_2,\ldots,i_T$ be an iid ...
- 6,853
1
vote
0
answers
91
views
A random process with conserved momentum: 'particle decay'?
Consider a particle $p_1$ moving at unit speed along a straight line in $\mathbf{R}^2$, directed by some vector $v_1 \in \mathbf{S}^1$. Equid this particle with a Poisson clock $\tau_1$, with ...
- 5,038
1
vote
0
answers
181
views
Random walk on 2d lattice with obstacles
Consider a random work on $L=\mathbb Z^2$ endowed with obstacles (i.e each cell $(x,y)$ of $L$ may contain a obstacle, i.e the random walk halts whenever it hits such a cell). Let $P(x,y) = 1$ if cell ...
- 6,853
1
vote
0
answers
44
views
Small parameter expansion of probability density
I am trying to describe the motion of a particle that moves according to the Langevin equations
\begin{align}
\dot{x}&(t)=v_0\cos{\beta(t)},\tag{1}\\
\dot{y}&(t)=v_0\cos{\beta(t)},\tag{2}
\end{...
- 11
1
vote
0
answers
289
views
Growth rate of exponential sum of $S_j$
Let $X_j$, $1 \leq j \leq n$ be chosen i.i.d. uniform over $[0,2\pi)$. Denote $S_j \triangleq X_1 +X_2+\cdots+X_j$ and suppose that $c_j$, $1 \leq j \leq n$ are some constants such that $|c_j|=1$.
I'...
- 85
1
vote
0
answers
76
views
Spitzer's condition, a slowly varying function and its behavior
Let $S$ denote a random walk that satisfies Spitzer's condition $$ \frac{1}{n} \sum _{k=1}^n P (S_k > 0 ) \to \rho$$ for some $\rho \in (0,1)$. From the book Regular Variation (Bingham, Goldie, ...
- 121
1
vote
0
answers
96
views
Minima of a random walk and an equality for a fraction
Let $S_n := X_1 + \dots + X_n$ denote a random walk with zero mean and finite variance and write $L_n := \min \{ 0, S_1, \dots, S_n\}$. The tail distribution of $L_n$ are well-known and in particular,
...
- 123
1
vote
0
answers
60
views
Probability for a SRW to be at some place in an even number of steps
I am looking for some references for the following problem.
Consider a graph $G$ and a simple continuous time random walk $(X_t)_{t\geqslant 0}$ on this graph. Consider the family of events $(e_t)_{t\...
- 166
1
vote
0
answers
365
views
Diagonal of Green's Function
I am looking to numerically calulate the diagonal of Green's function. I am interested in Green's functions of elliptic PDEs and in those that arise from stochastic processes (discrete and continuous)....
- 185
1
vote
0
answers
309
views
Horizontal vs Vertical sides Exit from a Rectangle for simple symmetric Random Walk on $\textbf{Z}^{2}$
Consider simple symmetric random walk, $X_{n} = (X_{n}^{(1)}, X_{n}^{(2)})$ with $X_0= (0,0)$, on the 2 dimensional integer lattice, $\textbf{Z}^{2}$.
Let $T_{M}, T_{N}$ be the smallest $n$ such ...
user71202
1
vote
1
answer
971
views
Integration of independent Brownian motions
I am wondering if the following integral of stochastic Brownian motions has an analytical solution?
$$
\int_{0}^{t}e^{\nu \tilde{V}_{\tau} - \frac{1}{2}\nu^{2}\tau}d\tilde{W}_{\tau}
$$
where $\tilde{...
- 11
0
votes
0
answers
85
views
Does a 2d random walk hit 0 for increasing distances AND time spans?
Question: For a simple symmetric random walk $(Z_t)_{t\geq 0}$ in $\mathbb{Z}^2$, does
$$\lim_{\beta\rightarrow 0}\mathbb{P}^{x_\beta}(Z_t=0\text{ for some }t\leq h(\beta)T)=0\quad (2.8)$$
where $|x_\...
- 31
0
votes
0
answers
111
views
Markov chains on a polyhedron
A modification of a question from Gerard Letac (1976): A m-sided q-adjacent-faced polyhedron has one of its faces "up." Each round, the polyhedron rolls so that any of the adjacent faces is now up. ...
