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Probability PDF

A random walk is a stochastic process where the next step is randomly determined. For a one dimensional random walk, the probability of returning to the starting point (recurrence) is 1, and the expected time to return is infinite.

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Kai Chung Tam
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86 views1 page

Probability PDF

A random walk is a stochastic process where the next step is randomly determined. For a one dimensional random walk, the probability of returning to the starting point (recurrence) is 1, and the expected time to return is infinite.

Uploaded by

Kai Chung Tam
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Probability

KC Tam

November 19, 2015

1 Random Walk
Let X be a random walk. recurrence is an event (∃k > 0) X(k) = X(0).

1.1 1 dimension
Let X be a 1 dimensional random walk. Show that the probability of recurrence is 1, and the
expectation of first k > 0 such that X(k) = X(0) is infinite.

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