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Transition probability matrices for correlated random walks

Published online by Cambridge University Press:  14 July 2016

R. B. Nain and
Kanwar Sen
R. B. Nain*
Affiliation:
Delhi University
Kanwar Sen*
Affiliation:
Delhi University
*
∗ Postal address: Department of Mathematical Statistics, Delhi University, Delhi 110007, India.
∗ Postal address: Department of Mathematical Statistics, Delhi University, Delhi 110007, India.
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Abstract

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.

Keywords

CORRELATED RANDOM WALKSTRANSITION PROBABILITY MATRICESELASTIC BARRIERSABSORBING BARRIERSREFLECTING BARRIERSMULTIPLE FUNCTION BARRIERS

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 17 , Issue 1 , March 1980, pp. 253 - 258
Copyright
Copyright © Applied Probability Trust 1980 

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References

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