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Some Problems on a One-Dimensional Correlated Random Walk with Various Types of Barrier

Part of: Markov processes

Published online by Cambridge University Press:  14 July 2016

Yuan Lin Zhang
Yuan Lin Zhang*
Affiliation:
Southeast University
*
∗ Postal address: Department of Mathematics and Mechanics, Southeast University, Nanjing 210018, People's Republic of China.
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Abstract

In this paper one-dimensional correlated random walks (CRW) with various types of barrier such as elastic barriers, absorbing barriers and so on are defined, and explicit expressions are derived for the ultimate absorbing probability and expected duration. Some numerical examples to illustrate the effects of correlation are also presented.

Keywords

DIFFERENCE EQUATIONELASTIC BARRIERABSORBING BARRIERREFLECTING BARRIEREXPECTED DURATIONCORRELATED RANDOM WALK

MSC classification

Secondary: 60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
Type
Short Communications
Information
Journal of Applied Probability , Volume 29 , Issue 1 , March 1992 , pp. 196 - 201
Copyright
Copyright © Applied Probability Trust 1992 

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References

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