On the distribution of the range of an asymmetric random walk (Q751048)
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English | On the distribution of the range of an asymmetric random walk |
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On the distribution of the range of an asymmetric random walk (English)
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1988
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\textit{L. M. Ricciardi} and \textit{S. Sato} [ibid. 36, No.1, 153-160 (1987; Zbl 0683.60050)] have derived closed-form expressions for the distribution of the range and for its mean and variance in the case of an asymmetric r.w. In this note we provide an alternative procedure for determining the range distribution, whose virtue is its much greater simplicity and effectiveness for computational purposes. Indeed, our closed-form results are deprived of the rapidly oscillating trigonometric terms that appear in the mentioned paper. The well-known convergence of a r.w. to a Wiener process is finally exploited to obtain an asymptotic formula for the mean range of the r.w.
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random walk
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range distribution
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closed-form results
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Wiener process
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