A new family of solvable Pearson-Dirichlet random walks

DOI10.1007/S10955-011-0245-4zbMATH Open1226.82025OpenAlexW3101330002WikidataQ60692003 ScholiaQ60692003MaRDI QIDQ637522FDOQ637522

Authors Gérard Le Caër

Publication date 6 September 2011

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.5070

zbMATH Keywords

Dirichlet distributiongamma distributionGauss hypergeometric functionrandom flightsinverse Laplace transformBessel numbersPearson-Rayleigh random walks

Mathematics Subject Classification ID

Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Classical hypergeometric functions, ({}_2F_1) (33C05) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Laplace transform (44A10)

Abstract: A n-step Pearson-Gamma random walk in Rd starts at the origin and consists of n independent steps with gamma distributed lengths and uniform orientations. The gamma distribution of each step length has a shape parameter q>0. Constrained random walks of n steps in Rd are obtained from the latter walks by imposing that the sum of the step lengths is equal to a fixed value. When the latter is chosen, without loss of generality, to be equal to 1, then the constrained step lengths have a Dirichlet distribution whose parameters are all equal to q. The density of the endpoint position of a n- step planar walk of this type (ngeq2), with q=d=2, was shown recently to be a weighted mixture of 1+floor(n/2) endpoint densities of planar Pearson-Dirichlet walks with q=1 (Stochastics, 82: 201, 2010). The previous result is generalized to any walk space dimension and any number of steps ngeq2 when the parameter of the Pearson-Dirichlet random walk is q=d>1. The endpoint density is a weighted mixture of 1+floor(n/2) densities with simple forms, equivalently expressed as a product of a power and a Gauss hypergeometric function. The weights are products of factors which depend both on d and n and Bessel numbers independent of d.

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Cited in

(22)

• Random flights connecting porous medium and Euler–Poisson–Darboux equations
• Probabilistic analysis of systems alternating for state-dependent dichotomous noise
• The Pearson walk with shrinking steps in two dimensions
• Slow diffusion by Markov random flights
• Random motion with uniformly distributed directions and random velocity
• On random flights with non-uniformly distributed directions
• Random flights through spaces of different dimensions
• The distribution of random motion at non-constant velocity in semi-Markov media
• Two-step Dirichlet random walks
• Asymptotic relation for the transition density of the three-dimensional Markov random flight on small time intervals
• A Reciprocal Formulation of Nonexponential Radiative Transfer. 2: Monte Carlo Estimation and Diffusion Approximation
• Random flights governed by Klein-Gordon-type partial differential equations
• Short hyperuniform random walks
• Isotropic random motion at finite speed with \(K\)-Erlang distributed direction alternations
• A Pearson random walk with steps of uniform orientation and Dirichlet distributed lengths
• Random motion with gamma steps in higher dimensions
• Rigorous Asymptotic and Moment-Preserving Diffusion Approximations for Generalized Linear Boltzmann Transport in Arbitrary Dimension
• A family of random walks with generalized Dirichlet steps
• Probability law for the Euclidean distance between two planar random flights
• Stochastic models associated to a nonlocal porous medium equation
• Reflecting random flights
• Dirichlet random walks

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