Abstract
Based on the linear Boltzmann transport formulation, we investigate the statistics of correlated exponential random walks that are continuous in space and discrete in time. We show that asymptotically, the correlated random walk process is diffusive and derive an effective diffusion constant. We investigate the power spectral characteristics of the associated random forces. We also present some results on the first passage time distribution and establish that asymptotically it reduces to that associated with simple Gaussian walks.
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John, T.M., Murthy, K.P.N. A study on correlated exponential random walks. J Stat Phys 45, 753–763 (1986). https://doi.org/10.1007/BF01021094
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DOI: https://doi.org/10.1007/BF01021094