Chapter

The random walk

Eric Renshaw

in Stochastic Population Processes

Published in print February 2011 | ISBN: 9780199575312
Published online September 2011 | e-ISBN: 9780191728778 | DOI: http://dx.doi.org/10.1093/acprof:oso/9780199575312.003.0004
The random walk

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This chapter considers path analyses for random walks, which leads on to first passage and return probabilities and the Arc Sine Law. Both absorbing and reflecting barriers are considered in some depth. Since the assumption of independent steps is not universally true, a classic case being the movement of share prices driven by market sentiment, the correlated random walk is introduced.

Keywords: path analyses; first passage; return probabilities; Arc Sine Law; absorbing barrier; reflecting barrier; correlated random walk

Chapter.  30924 words.  Illustrated.

Subjects: Applied Mathematics

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