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The discrete uhlenbeck–ornstein process

Published online by Cambridge University Press:  14 July 2016

Eric Renshaw
Eric Renshaw*
Affiliation:
University of Edinburgh
*
∗ Postal address: Department of Statistics, University of Edinburgh, James Clerk Maxwell Building, The King's Buildings, Mayfield Road, Edinburgh EH9 3JZ, UK.
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Abstract

A correlated random walk is studied in which, at each stage, the velocity changes according to a first-order process. Motion is considered both with and without friction, the former situation being the discrete analogy of the Uhlenbeck–Ornstein process. Exact and limiting expressions are developed for the cumulant structures.

Keywords

CORRELATED RANDOM WALKVELOCITYFRICTIONCUMULANTSPARTITIONS

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 24 , Issue 4 , December 1987, pp. 908 - 917
Copyright
Copyright © Applied Probability Trust 1987 

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