Time reversal of random walks in one dimension (Q583721): Difference between revisions

Let \(S_ 0=0\), \(S_ 1-S_ 2,..\). be a random walk on the real line with the property that the time \(\tau\) of the first visit of the random walk to the negative half-line is finite with probability one. A new process is constructed by appending independent copies of the time- reverted segment \[ W=(0,S_{\tau -1}-S_{\tau},S_{\tau -2}- S_{\tau},...,S_ 1-S_{\tau},-S_{\tau}) \] to each other. The authors shows that this procedure results in a Markov process and obtains the associated transition function.