Summary: 1/27
Chapter 9. Markov chains.
Manual for SOA Exam MLC.
Chapter 10. Markov chains.
Section 10.3. Random walk.
c 2008. Miguel A. Arcones. All rights reserved.
Extract from:
"Arcones' Manual for SOA Exam MLC. Fall 2009 Edition",
available at http://www.actexmadriver.com/
c 2008. Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
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Chapter 9. Markov chains. Section 9.3. Random walk.
Random walk
Let { j }
j=1 be a sequence of i.i.d.r.v.'s with P{ j = 1} = p and
P{ j = -1} = q = 1 - p, where 0 < p < 1. Given an integer X0,
let Xn = X0 + n
j=1 j for n 1. The stochastic process
{Xn : n 0} is called a random walk. Usually X0 = 0.
c 2008. Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.

Source: Arcones, Miguel A. - Department of Mathematical Sciences, State University of New York at Binghamton

Collections: Mathematics