A comparison of random walks in dependent random environments

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Abstract

We provide exact computations for the drift of random walks in dependent random environments, including $k$-dependent and moving average environments. We show how the drift can be characterized and evaluated using Perron–Frobenius theory. Comparing random walks in various dependent environments, we demonstrate that their drifts can exhibit interesting behavior that depends significantly on the dependency structure of the random environment.
Original languageUndefined
Pages (from-to)199-214
Number of pages16
JournalAdvances in applied probability
Volume48
Issue number1
DOIs
Publication statusPublished - Mar 2016

Keywords

  • EWI-27677
  • MSC-60K37
  • IR-103347
  • METIS-321692
  • MSC-60G50

Cite this

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title = "A comparison of random walks in dependent random environments",
abstract = "We provide exact computations for the drift of random walks in dependent random environments, including $k$-dependent and moving average environments. We show how the drift can be characterized and evaluated using Perron–Frobenius theory. Comparing random walks in various dependent environments, we demonstrate that their drifts can exhibit interesting behavior that depends significantly on the dependency structure of the random environment.",
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author = "Scheinhardt, {Willem R.W.} and Dirk Kroese",
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language = "Undefined",
volume = "48",
pages = "199--214",
journal = "Advances in applied probability",
issn = "0001-8678",
publisher = "University of Sheffield",
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A comparison of random walks in dependent random environments. / Scheinhardt, Willem R.W.; Kroese, Dirk.

In: Advances in applied probability, Vol. 48, No. 1, 03.2016, p. 199-214.

Research output: Contribution to journalArticleAcademicpeer-review

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AU - Kroese, Dirk

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AB - We provide exact computations for the drift of random walks in dependent random environments, including $k$-dependent and moving average environments. We show how the drift can be characterized and evaluated using Perron–Frobenius theory. Comparing random walks in various dependent environments, we demonstrate that their drifts can exhibit interesting behavior that depends significantly on the dependency structure of the random environment.

KW - EWI-27677

KW - MSC-60K37

KW - IR-103347

KW - METIS-321692

KW - MSC-60G50

U2 - 10.1017/apr.2015.13

DO - 10.1017/apr.2015.13

M3 - Article

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JF - Advances in applied probability

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