The speed of a general random walk reinforced by its recent history

Ross G. Pinsky

doi:10.1016/j.spa.2020.01.017

The speed of a general random walk reinforced by its recent history

Ross G. Pinsky

Mathematics

Technion - Israel Institute of Technology

Research output: Contribution to journal › Article › peer-review

Abstract

We consider a class of random walks whose increment distributions depend on the average value of the process over its most recent N steps. We investigate the speed of the process, and in particular, the limiting speed as the “history window” N→∞.

Original language	English
Pages (from-to)	4793-4807
Number of pages	15
Journal	Stochastic Processes and their Applications
Volume	130
Issue number	8
DOIs	https://doi.org/10.1016/j.spa.2020.01.017
State	Published - Aug 2020

Keywords

Cramer's theorem
Cramér's theorem
Legendre-Fenchel transform
Legendre–Fenchel transform
Random walk with reinforcement

All Science Journal Classification (ASJC) codes

Applied Mathematics
Statistics and Probability
Modelling and Simulation

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10.1016/j.spa.2020.01.017

Cite this

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title = "The speed of a general random walk reinforced by its recent history",

abstract = "We consider a class of random walks whose increment distributions depend on the average value of the process over its most recent N steps. We investigate the speed of the process, and in particular, the limiting speed as the “history window” N→∞.",

keywords = "Cramer's theorem, Cram{\'e}r's theorem, Legendre-Fenchel transform, Legendre–Fenchel transform, Random walk with reinforcement",

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AB - We consider a class of random walks whose increment distributions depend on the average value of the process over its most recent N steps. We investigate the speed of the process, and in particular, the limiting speed as the “history window” N→∞.

KW - Cramer's theorem

KW - Cramér's theorem

KW - Legendre-Fenchel transform

KW - Legendre–Fenchel transform

KW - Random walk with reinforcement

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DO - 10.1016/j.spa.2020.01.017

M3 - مقالة

SN - 0304-4149

VL - 130

SP - 4793

EP - 4807

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 8

ER -

The speed of a general random walk reinforced by its recent history

Abstract

Keywords

All Science Journal Classification (ASJC) codes

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