Random walk and fluctuation theory
This is an extensive survey article on random walks. The author surveys and explains a host of classical and recent results, applications, the history of the research, and lists a comprehensive literature. Proofs or new results are not contained, but for every result there are precise references and interpretations provided, if possible. The long list of provided applications to real-world phenomena include gamble, electrostatics, mathematical finance, card shuffling, and electrical networks. The text is written in a rather understandable and pleasant way and gives the reader a quick and precise summary of the important results on random walks. It is amazing how many interesting and important aspects are collected, explained and put into relation to each other. The text starts with the basic properties of simple random walk in the Euclidean space, like recurrence and transience, generating functions, Polyá's theorem, (discrete) harmonic analysis, and (discrete) renewal theory and potential theory. Then it surveys the coupling method and Donsker's invariance principle and discusses random walks on special structures, like groups, graphs and some more specified structures. It concisely mentions some variants of random walks like random walk in random environment, self-avoiding walk and branching random walk, and then turns to the second main topic, the fluctuation theory. Here special emphasis is put on Spitzer's identity for the distribution maximum of a random walk after \(n\) steps, the Wiener-Hopf method, and Spitzer's arc-sine law. Consequences and applications to ballot theorems, queues, barrier problems and non-parametric statistics are treated as well. For the entire collection see [Zbl 0961.60001].
- Multilayers in a modulated stochastic game
- Universal fluctuations in the support of the random walk
- Fluctuation analysis in queues with several operational modes and priority customers
- Fluctuation theory for Markov random walks
- Fluctuation analysis in parallel queues with hysteretic control
- On multivariate antagonistic marked point processes
- Principles of random walk.
- Persistence probabilities and exponents
- Time sensitive analysis of independent and stationary increment processes
- Generating functions of waiting times and numbers of visits for random walks on graphs
- Survival probability of random walks and Lévy flights on a semi-infinite line
- Homomorphisms from Functional Equations in Probability
- Keeping random walks safe from extinction and overpopulation in the presence of life-taking disasters
- Record statistics of a strongly correlated time series: random walks and Lévy flights
- scientific article; zbMATH DE number 2233864 (Why is no real title available?)
- A generating function approach to Markov chains undergoing binomial catastrophes
- Persistence and ball exponents for Gaussian stationary processes
- Ladder costs for random walks in Lévy random media
- Microscopic approach to random walks
- Maintenance in single-server queues: a game-theoretic approach
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