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The general correlated random walk

Published online by Cambridge University Press:  14 July 2016

Anyue Chen  and
Eric Renshaw
Anyue Chen*
Affiliation:
University of Hong Kong
Eric Renshaw*
Affiliation:
University of Strathclyde
*
∗ Postal address: Department of Statistics, University of Hong Kong, Pokfulam Road, Hong Kong.
∗∗ Postal address: Department of Statistics and Modelling Science, Livingstone Tower, University of Strathclyde, 26 Richmond Street, Glasgow G1 1XH, UK.
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Abstract

In this paper we provide further results on the general d-dimensional correlated random walk. In particular, we prove that the n-step characteristic function of any correlated random walk satisfies a recurrence formula which enables both it and the total characteristic function to be obtained. Some examples are then considered.

Keywords

CHARACTERISTIC FUNCTIONMOMENTSRECURRENCE

Information

Type
Research Article
Information
Journal of Applied Probability , Volume 31 , Issue 4 , December 1994 , pp. 869 - 884
Copyright
Copyright © Applied Probability Trust 1994 

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