The speed of a general random walk reinforced by its recent history

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:130

Article

Pinsky, Ross G.¹ 

[1] Technion Israel Inst Technol, Dept Math, IL-32000 Haifa, Israel

关键词: Random walk with reinforcement;    Cramer's theorem;    Legendre-Fenchel transform;   

DOI  :  10.1016/j.spa.2020.01.017

来源: Elsevier

【 摘 要 】

We consider a class of random walks whose increment distributions depend on the average value of the process over its most recent N steps. We investigate the speed of the process, and in particular, the limiting speed as the history window N -> infinity. (C) 2020 Elsevier B.V. All rights reserved.

【 授权许可】

Free