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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

0 votes
1 answer
56 views

Probability of random walk on confined lattice with reflective boundaries

Consider a simple random walk in one dimension with reflective boundaries at $n=1$ and $n=N$. We can express it via the master equation: \begin{equation} P(n,t) = \frac{1}{2}P(n-1,t-1) + \frac{1}{2}P( …
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  • 274
7 votes
2 answers
235 views

Evolution of the empirical mean of a list as we remove elements proportional to their value

Consider a list of $N$ integers $k_1,k_2,\dots k_N$, drawn independently from some distribution $P(k)$ with $k_i \geq 1$. We denote its mean with $\langle k\rangle=\sum_{k=1}kP(k)$. The first two mome …
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  • 274
5 votes
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107 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 $[0,L]$, the p …
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