Simple random walks in continuous time.

Ricardo Vélez Ibarrola

Trabajos de Estadística e Investigación Operativa (1983)

  • Volume: 34, Issue: 1, page 88-106
  • ISSN: 0041-0241

Abstract

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The properties of a certain generalization of simple random walk to continuous time are analyzed in this paper. After the definition, its transition probabilities, and the differential equations satisfied by those, are obtained. Under some conditions, the convergence of this random walk to a Wiener process is then established. Finally, absorption probabilities and mean times until absorption are calculated, giving some insight into the behaviour of the process.

How to cite

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Vélez Ibarrola, Ricardo. "Recorridos aleatorios simples en tiempo continuo.." Trabajos de Estadística e Investigación Operativa 34.1 (1983): 88-106. <http://eudml.org/doc/40696>.

@article{VélezIbarrola1983,
author = {Vélez Ibarrola, Ricardo},
journal = {Trabajos de Estadística e Investigación Operativa},
keywords = {Procesos estocásticos; random walk; continuous time; convergence; Wiener process; absorption probabilities; mean times until absorption},
language = {spa},
number = {1},
pages = {88-106},
title = {Recorridos aleatorios simples en tiempo continuo.},
url = {http://eudml.org/doc/40696},
volume = {34},
year = {1983},
}

TY - JOUR
AU - Vélez Ibarrola, Ricardo
TI - Recorridos aleatorios simples en tiempo continuo.
JO - Trabajos de Estadística e Investigación Operativa
PY - 1983
VL - 34
IS - 1
SP - 88
EP - 106
LA - spa
KW - Procesos estocásticos; random walk; continuous time; convergence; Wiener process; absorption probabilities; mean times until absorption
UR - http://eudml.org/doc/40696
ER -

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