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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
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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