If S n = X 1 + X 2 + ⃛ + X n, then S n is a special discrete-time Markov process called a random walk if S 0 = 0 and the random variables {X i} are independent and identically distributed. The most common form of the random walk is the discrete one in which X i =−1 or + 1. Markov chains; Markov processes.
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© 2001 Kluwer Academic Publishers
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Gass, S.I., Harris, C.M. (2001). Random walk . In: Gass, S.I., Harris, C.M. (eds) Encyclopedia of Operations Research and Management Science. Springer, New York, NY. https://doi.org/10.1007/1-4020-0611-X_854
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DOI: https://doi.org/10.1007/1-4020-0611-X_854
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