Correlated random walks with a finite memory range

DOI10.1142/S0129183100000791MaRDI QIDQ2718388zbMATH OpenOpenAlexFDO

Publication date 2 September 2002

Published in International Journal of Modern Physics C (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/adap-org/9904001

Sums of independent random variables; random walks (60G50) Other physical applications of random processes (60K40) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41)

Abstract: We study a family of correlated one-dimensional random walks with a finite memory range M.These walks are extensions of the Taylor's walk as investigated by Goldstein, which has a memory range equal to one. At each step, with a probability p, the random walker moves either to the right or to the left with equal probabilities, or with a probability q=1-p performs a move, which is a stochastic Boolean function of the M previous steps. We first derive the most general form of this stochastic Boolean function, and study some typical cases which ensure that the average value <R_n> of the walker's location after n steps is zero for all values of n. In each case, using a matrix technique, we provide a general method for constructing the generating function of the probability distribution of R_n; we also establish directly an exact analytic expression for the step-step correlations and the variance <R_n^2> of the walk. From the expression of <R_n^2>, which is not straightforward to derive from the probability distribution, we show that, for n going to infinity, the variance of any of these walks behaves as n, provided p>0. Moreover, in many cases, for a very small fixed value of p, the variance exhibits a crossover phenomenon as

n

increases from a not too large value. The crossover takes place for values of

n

around 1/p. This feature may mimic the existence of a non-trivial Hurst exponent, and induce a misleading analysis of numerical data issued from mathematical or natural sciences experiments.

Review text

A one-dimensional correlated random walk \((R_n)_{n\geq 0}\) with (finite) memory range \(M\geq 1\) is given by \(R_n=S_1+S_2+\dots+S_n\), where the increments \(S_1\), \(S_2\), \dots\ are defined as follows: for \(k\leq{M}\), the jumps \(S_k\) are i.i.d.\ symmetric Bernoulli random variables with values~\(\pm 1\); for \(k>M\), a coin showing head with probability \(p\in[0,1]\) is tossed; if there was a head, \(S_k\) takes values \(\pm 1\) with equal probabilities, otherwise, \(S_k=f_{M}(S_{k-1},S_{k-2},\dots,S_{k-M})\), where \(f_{M}\) is a Boolean function from \(\{-1,1\}^M\) onto \(\{-1,1\}\). NEWLINENEWLINENEWLINEA particular case with \(M=1\) was introduced by \textit{G. I. Taylor} in 1921 and was studied by \textit{S. Goldstein} [Q. J. Mech. Appl. Math. 4, 129-156 (1951; Zbl 0045.08102)]. In the present paper, the authors use the transfer-matrix formalism to investigate some cases with \(M>1\) subject to zero mean displacement condition \({\mathbb E}R_n=0\). In particular, they give formulae for the variance \({\mathbb E}(R_n)^2\) and discuss the crossover phenomenon from quadratic to linear behaviour of \({\mathbb E}(R_n)^2\).

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