For questions on random walks, a mathematical formalization of a path that consists of a succession of random steps.

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Probability of a Brownian Motion to fall in a bandwidth

Let $X_t$ be defined as $$ X_t = X_0+\int_0^t\sigma_{0}\,dW_s, $$ where $W_s$ is a Wiener process and $\sigma_0\in\mathbb{R}^{+}/{0}$. Which is the probability $$ ...
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1answer
28 views

Is there a name for the following random process?

I have a random process which seems to oscillate between extremes in terms of trending but which is locally like a Brownian motion or a fractional Brownian motion. Is there a name for such a ...
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1answer
24 views

What is the meaning $P[\frac{1}{n}\sum_{k=1}^{n}Z_k \le \frac{1}{2}\text{ for infinitely many }n]=0$

Let $Z_1, Z_2,\ldots$ be independent identically distributed (i.i.d) binary variables with $P[Z_i = 1] = 1-\alpha $ for some $\alpha > \frac{1}{2}$. Using the transformation $X_i=2Z_i-1$ together ...
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1answer
69 views

Random walk and Occupation measure

This is homework so no answers please I want to find for some $A\subset \mathbb{R}$ the limit $$\lim_{n\to \infty}\mu_{n}(A)=\lim_{n\to ...
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0answers
38 views

Cumulative minimum of an Ornstein-Uhlenbeck process

Assume we generate a sample path $X_t$ from an Ornstein-Uhlenbeck distribution (i.e. a mean-reverting random walk), where $dX_t = −\rho(X_t − \mu)dt + \sigma dW_t$. For concreteness, take $\mu = 0$, ...
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1answer
65 views

Random walk question

here is the problem that I have been trying to do: N+1 plates are laid out around a circular dining table, and a hot cake is passed between them in the manner of a symmetric random walk: each time it ...
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1answer
36 views

counting combinations of {+1, -1} with constraints

I'm trying to count the number of ways of arranging a sequence of length $N+2L$ made of "$+1$" and "$-1$", with the following two conditions: 1) the total has to sum to $N$ 2) no partial sum is ...
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2answers
46 views

Random sequence of $0$'s and $1$'s - what is the average 'in a row' succession

Let's say we create a sequence from coin tossing. Heads will be signified as $0$ and tails as $1$ Let's define $R$ as a successive elements(in the given sequence) of the same value. for example we ...
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1answer
92 views

Proof that random walk visits zero infinitely many times

Since the Green function $G(x,1)=\sum\limits_{n\in \mathbb{N}_0}P(S_n=x), x\in\mathbb{Z}^d$ gives the expected number of visits to $x$ in a random walk, I'm asked to prove the following: I have to ...
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2answers
58 views

One dimension symmetric random walk

We have person that starts at $x=0$ and at every step he goes left with probability $0.5$ and right with probability $0.5$. What is the probability he will arrive at $x=3$ at some time? I got ...
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4answers
371 views

Random walk on a finite square grid: probability of given position after 15 or 3600 moves

An ant is walking on the squares of a 5x5 grid - it starts in the center square. Each second, it will choose (with equal probability) to do one of the following: Move north one square Move south ...
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1answer
104 views

Expected time to get from bottom left to top right in a square

Consider a two dimensional random walk starting at the bottom left hand corner of an $n$ by $n$ square. At each step you take one step up, down, left or right distance $1$. Each choice has equal and ...
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0answers
58 views

Simple random walk conditioning on non-return

Consider a simple symmetric random walk on $\mathbb{Z}$, $(S_t)_{t \geq 0}$, with $S_0=0$. Let $k$ and $j$ be two positive integers. Let $P_{k,j}$ be the probability that the walker hits the vertex ...
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1answer
65 views

Intuition in Random walk

Suppose $X_i$ are i.i.d. r.v. $S_n=X_1+\cdots+X_n$ is random walk. Why $\mathcal{F}_n =\sigma(X_1,\cdots,X_n)$ are called the information known at time n? I think We only know the measurability of ...
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1answer
127 views

Problem about Random walk and Stopping time.

Here is an example in "Probability with Martingales" My questions are: (1)Does equation (a) hold for $T=\infty$? (2)The equation:$$\mathbb{E}M_T^\theta=1=\mathbb{E}[(sech \theta)^Te ...
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44 views

Random walks on connected finite graphs

On a finite connected graph if a random walked is choosing the next vertex uniformly at random from among the edges of its current vertex, then it looks quite obvious to me that given an infinite walk ...
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1answer
546 views

Why is the expected average displacement of a random walk of N steps not $\sqrt N$?

Let $D_N$ be the expected average of the displacement of a random walk on $\mathbb Z$ from the origin, where $N$ is the number of steps, each of which is either $-1$ or $1$. We take the definition of ...
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30 views

Comparing hitting time of two random walks

There are two random walks, $S^t_i=S^{t-1}_i+ X_i^t$ for $i=1,2$, $X^t_i$ i.i.d they have boundaries $h_1$ and $h_2$ respectively. I'm wondering if it's possible to calculate the probability that one ...
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1answer
53 views

Invariant mesure of a reflected random walk

Let $(X_n), n \geq 0$ be a Reflected Random Walk defined by: $X_0 = 0$ and: $ X_{n+1}=\max( 0 , X_n + \xi )$ $\xi $ is a random variable such that $P(\xi=a)=\theta$ and $P(\xi=-b)=1-\theta$ for a ...
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1answer
289 views

Conditional return time of simple random walk

Consider a simple symmetric random walk on $\mathbb{Z}$, $(S_t)_{t \geq 0}$. Call $\tau_k = \min\{t \in \mathbb{N}\, : \, \, S_t =k \}$, the hitting time of $k \in \mathbb{N}$. Call $\tau^* = \min\{t ...
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0answers
67 views

Reflected random walk

Suppose that $X_n$ is a reflected (in 0) random walk with parameter $\theta$. So $X_{n+1}-X_n = 1$ with probability $\theta$ , and -1 with probability $1-\theta$ when $X_n \geq 1$, if $X_n=0$ then ...
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1answer
91 views

Random walk on cubic lattice

Suppose at every point of the cubic grid in n dimensions is a particle, and at every timestep every particle moves at random to one of its 2n neighbours. As time goes to infinity, what is the ...
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2answers
68 views

Non-Probabilistic Argument for Divergence of the Simple Random Walk

The simple random walk is one starting at $0$ with steps of $-1$ and $1$ with equal probability. Is there a proof not involving (too much) probability - preferably number-theoretic - of why this walk ...
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0answers
78 views

Exact probability distribution for hitting time of simple random walk

Consider simple random walk on the line starting from the site $y \in \mathbb{N}$. With probability $p$ the walker moves to the right and with probability $1-p$ to the left. Call $\tau$ the first time ...
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79 views

Sparse matrix algorithms involving data-driven or random access / walk

I am looking for some well-known algorithms in which sparse matrix elements are accessed in a non-structured way, i.e. row/column depends on a value of another (sparse) matrix/vector element or some ...
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1answer
38 views

Distributions of local times of a single excursion of 1D random walk

Consider Simple Random Walk in one dimensions, starting from $x \in \mathbb{Z}^+$. The walker jumps to the right with probability $p$ and to the left with probability $1-p$. Assume $p \leq ...
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1answer
118 views

Random walks with finite chance of escape

In a recent answer I gave a combinatorial interpretation for the sum $\sum_{n=1} \binom{2n}{n}\frac{4^{-n}}{n+1}=1$: namely, that it corresponded to the probability of all outcomes adding to $1$. A ...
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2answers
184 views

Limit value of a product martingale

This question came from a problem i was solving for self-study. I'll state the problem first: Let $Y_n \sim \mathcal N(0,\sigma^2)$ be independent normally distributed variables, $X_n = ...
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51 views

$1$-dimensional random walk with barrier

Let $X$ be a random walk on $\mathbb{Z}_{\ge 0}$ starting at $0$, with step size $1$, and there is a barrier at $0$ so that if one tries to move to $-1$ it stays at $0$ (non-reflecting). If we fix the ...
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97 views

Number of paths from $(0,0)$ to $(n,k)$ where all four directions are allowed, using a specific number of steps

It is well known that the number of paths from $(0,0)$ to $(n,k)$ in $\mathbb{N^2}$ with the set of steps $\{(1,0),(0,1)\}$ is ${n+k \choose k}$. This is the minimum number of steps needed to get to ...
3
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1answer
167 views

2D random walk variation

If a point on a 2D lattice is allowed to take a random walk by taking a unit step either up, down, left or right, there is probability $1$ of reaching any point (including the starting point) as the ...
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1answer
50 views

Random walk on free group on two elements

Let $F_2$ be the free group on two elements, generated by $\{a, b\}$. We perform a random walk on $F_2$, starting at the identity element $e$ and uniformly at random selecting one of ...
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1answer
147 views

Proving a property of hitting times of a simple random walk on $\mathbb{Z}$

I'm reading the course notes of a probability course about martingales currently and I'm trying to solve some of the exercises, however I'm very much stuck with the following exercise: Let $\left\{ ...
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1answer
79 views

Are random walk variations Markov-Chains?

Let $S_{n}:= S_0 + \sum_{i=1}^{n}X_i$ be a simple random walk, $X_i$ are independent random variables with $P[X_i=1] = p, P[X_i = -1] = 1-p$. Let $M_n:=\max\{S_0, \dots, S_n\}$. The task at hand is ...
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41 views

Self-avoiding random walk on $\mathbb{Z}^2$ getting stuck

Let $W_n$ be a self-avoiding random walk (SAW) on $\mathbb{Z}^2$, starting at the origin. Formally, $W_0=0$ and for $n\ge 0$, $W_{n+1}$ is chosen uniformly from the neighbours of $W_n$ which were not ...
0
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1answer
93 views

Writing down the transition matrix of a discrete Markov chain

Please consider the following scenario: One person is walking along a discrete circle induced by $\mathbb{Z}/n\mathbb{Z}$ In each round we roll a dice with $w\in\left\{2,\ldots n\right\}$ sides If ...
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1answer
45 views

Simple Random Walk probability of first visit

Consider a particle that moves according to a simple random walk. Denote by $X_n$ the position of the particle immediately after step $n$. Assume that $X_0 = 0$ and that, at each step, the ...
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0answers
79 views

Sum of sequence of random variables infinitely often positive

Let $X_1,X_2,\ldots$ be an infinite sequence of independent (but not necessarily identically distributed) random variables with $E(X_i)=0$ for all $i$. Set $S_n=\sum_{i=1}^n X_i$. I want to show that ...
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1answer
305 views

Random walk around circle [duplicate]

For one of the exercises of my homework I need to answer the following question, but I am not sure how I should apply gamblers ruin theory to solve this problem (it is stated as a hint, not that I ...
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1answer
187 views

Probability of random walk returning to 0

Given a symmetric 1-dimensional random walk starting at 0 -- what is the probability of the walk returning $k$ times to 0 after $2N$ steps? I know that the total number of paths it can take is ...
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83 views

Hitting time of a maximum of random walk converges to that of Brownian motion

Suppose $S_n$ is a simple random walk; formally, $S_n=\sum_{i=1}^n X_i$ for $X_i\sim\mathcal{U}(-1,1)$, i.i.d.. Denote by $M_n$ the maximum of the random walk on $n$ steps; formally, $M_n=\max_{0\le ...
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1answer
63 views

1D biased random walk - is the event of infinte many returns a tail event?

I am considering a biased random walk: $X_1,X_2,\dots$ iid with $\mathbb{P}(X_1=1)=p$ and $\mathbb{P}(X_1=-1)=1-p$ with $p\in[0,1]\backslash\{1/2\}$, $S_n=X_1+\dots+X_n$. In this setting I want to ...
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1answer
39 views

Randomly moving about a lattice, probability that I return to my original location?

I thought of this question when I was walking aimlessly around my neighborhood. Here's my question: My house is on an infinite lattice of points: say my house is at $(0,0)$. I start walking north (it ...
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98 views

Uniform integrability of the maximum of a random walk with negative drift

Given $S_k^{(n)} = X_1^{(n)} + ... + X_k^{(n)}$ for all $k,n\in\mathbb{N}$, where the $X_i^{(n)}$'s are iid with mean $-\gamma$ for some $\gamma > 0$ and unit variance. Let ...
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2answers
80 views

Random walk on tree

You begin at a root node that has 2 children. Each of those two children have two more children, and each of those children have two final children (i.e., there are 15 nodes in the graph). How do I ...
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58 views

Random looking Gray Codes or Hamiltonian Cycles on Hypercubes

Cyclic Gray codes come in many flavors and correspond 1-1 to Hamiltonian cycles on hypercubes. I would like to find a type that looks like a random walk on the hypercube. In a sense this is an ...
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47 views

Recurrence for a random walk question

Let $X_i$'s be iid and define $X_1+\ldots+X_n=S_n$. I was trying to show that if $S_n$ is recurrent, then $S_{2n}$ is also recurrent. Assume these walks are in $\mathbb{R}^d$. Using Chung-Fuchs ...
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2answers
150 views

Power series convergence of random walk transition matrix

I would like to find out if $$ \sum_{t=0}^\infty P^t = \left( I- P \right)^{-1} ~,$$ where $P = D^{-1}W ~ $ is a random walk transition matrix. $W$ is a matrix describing weights in a graph and ...
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1answer
84 views

{Probability}: choosing keys from a pool without replacement

The OP is trying to understand the following question. The OP understand that if you can always write out the term $$P(X=k) \implies (1-\frac{1}{N})(1-\frac{1}{N-1})\cdots(1-\frac{1}{N-k+1}),$$ ...
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1answer
94 views

Expected number of steps and probability

I have a problem that I am not quite sure how to solve using my elementary knowledge of probability. My question is this: suppose a friend and I are playing a game. We both start at 0 points, and ...