Duality properties of a one-dimensional random walk and a new computational algorithm (Q917170)

This paper expands on earlier work by the authors [Oper. Res. 34, 449-454 (1986; Zbl 0612.60061)], which proposes an ingenious procedure for making an exact finite theoretical representation of a system whose true physical character is a random walk with infinitely many states. The technique provides an alternative to a finite approximation to an infinite system in which one calculates recursively successive approximations to the exact infinite state probabilities by allowing the number of states to increase progressively. A new algorithm is proposed and briefly illustrated by a not altogether rivetting example. We look forward to the sequel which, it is promised, will contain more realistic examples of this powerful method.