Random walks (RW’s) appeared in the mathematical and statistical literature in 1905 when Karl Pearson, in a letter to the journal Nature, introduced the name for the first time. They are a simple kind of stochastic processes and describe the random movements of an object in a set of possible positions. RW’s are Markov processes as the conditional distribution of a future state given the present and the past depends only on the present state. As a consequence the classification of Markov chains as irreducible, recurrent and periodic can be applied to characterize their limiting behavior. An important role in this regard is played by asymptotic results in probability theory concerning sums of i.i.d. random variables, such as the laws of large numbers and the central limit theorem. At present a large number of papers in environmental sciences make explicit or implicit use of RW based models. Their application has mainly to do with studies of animal movements and microscopic motility and of particle diffusion in fluids. The implicit use of RW models arises when computational algorithms or complex, possibly hierarchical, statistical models are employed.

Random Walk

POLLICE, Alessio
2013-01-01

Abstract

Random walks (RW’s) appeared in the mathematical and statistical literature in 1905 when Karl Pearson, in a letter to the journal Nature, introduced the name for the first time. They are a simple kind of stochastic processes and describe the random movements of an object in a set of possible positions. RW’s are Markov processes as the conditional distribution of a future state given the present and the past depends only on the present state. As a consequence the classification of Markov chains as irreducible, recurrent and periodic can be applied to characterize their limiting behavior. An important role in this regard is played by asymptotic results in probability theory concerning sums of i.i.d. random variables, such as the laws of large numbers and the central limit theorem. At present a large number of papers in environmental sciences make explicit or implicit use of RW based models. Their application has mainly to do with studies of animal movements and microscopic motility and of particle diffusion in fluids. The implicit use of RW models arises when computational algorithms or complex, possibly hierarchical, statistical models are employed.
2013
978-0-470-97388-2
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11586/22119
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