The General Random Walk

  • Sidney I. Resnick

Abstract

WHAT IS this mathematical model called a random walk? Let {X n, n ≥ 1} be iid real valued random variables. Define S0 = 0, and for n ≥ 1 define S n = X 1 + … + X n. Then {S n , n ≥ 0} is a random walk. The random variables {X i } are called the steps of the random walk, and the distribution F(x) = P{X1x} is called the step distribution.

Keywords

Convolution 

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Copyright information

© Springer Science+Business Media New York 2002

Authors and Affiliations

  • Sidney I. Resnick
    • 1
  1. 1.School of Operations Research and Industrial EngineeringCornell UniversityIthacaUSA

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