First passage times for correlated random walks and some generalizations
type: Item
instance of: scholarly article
title: First passage times for correlated random walks and some generalizations
zbMATH Open document ID: 0587.60065
DOI: 10.1007/BF01011837
author: George H. Weiss
published in: Journal of Statistical Physics
publication date: 1984-01-01T00:00:00Z
review text: It is generally difficult to solve Fokker-Planck equations in the presence of absorbing boundaries when both spatial and momentum coordinates appear in the boundary conditions. In this note we analyze a simple, exactly solvable model of the correlated random walk and its continuum analogue. It is shown that one can solve for the moments recursively in one dimension in exact analogy with first passage problems for the Fokker- Planck equation, although the boundary conditions are somewhat more complicated. Further generalizations are suggested to multistate random walks.
Mathematics Subject Classification ID: 60G50
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 3942650
zbMATH Keywords: multistate random walks
zbMATH Keywords: correlated random walk
zbMATH Keywords: first passage problems
zbMATH Keywords: Fokker-Planck equation
MaRDI profile type: Publication
cites work: On the Theory of the Brownian Motion II
cites work: ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION
cites work: Q3268146
full work available at URL: https://doi.org/10.1007/bf01011837
OpenAlex ID: W2033767392
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description: scientific article; zbMATH DE number 3942650