Multidimensional random walk with reflections

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:129

Article

Kloas, Judith¹  Woess, Wolfgang¹ 

[1] Graz Univ Technol, Inst Diskrete Math, Steyrergasse 30, A-8010 Graz, Austria

关键词: Reflected random walk;    Recurrence;    Invariant measure;    Local contractivity;    Stochastic iterated function system;   

DOI  :  10.1016/j.spa.2018.03.003

来源: Elsevier

【 摘 要 】

Reflected random walk in higher dimension arises from an ordinary random walk (sum of i.i.d. random variables): whenever one of the reflecting coordinates becomes negative, its sign is changed, and the process continues from that modified position. One-dimensional reflected random walk is quite well understood from work in 7 decades, but the multidimensional model presents several new difficulties. Here we investigate recurrence questions. (C) 2018 Elsevier B.V. All rights reserved.

【 授权许可】

Free