Abstract
The purpose of this section is to review1 certain aspects of the absorption problem for simple random walk. This problem has quite a long mathematical history, which is not surprising as we shall recognize it as a boundary value problem of the simplest possible type. It is discrete, and the transition function, which plays the role of a second-order difference operator, is symmetric. Therefore we shall be able to reduce the problem to the diagonalization of certain symmetric matrices.
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© 1964 Frank Spitzer
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Spitzer, F. (1964). Random Walk on an Interval. In: Principles of Random Walk. Graduate Texts in Mathematics, vol 34. Springer, New York, NY. https://doi.org/10.1007/978-1-4757-4229-9_5
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DOI: https://doi.org/10.1007/978-1-4757-4229-9_5
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-90150-3
Online ISBN: 978-1-4757-4229-9
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