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The Correlated Random Walk with Boundaries. A Combinatorial Solution

Böhm, Walter (1999) The Correlated Random Walk with Boundaries. A Combinatorial Solution. Forschungsberichte / Institut für Statistik, 67. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.

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Abstract

The transition fundions for the correlated random walk with two absorbing boundaries are derived by means of a combinatorial construction which is based on Krattenthaler's Theorem for counting lattice paths with turns. Results for walks with one boundary and for unrestricted walks are presented as special cases. Finally we give an asymptotic formula, which proves to be useful for computational purposes. (author's abstract)

Item Type: Paper
Additional Information: published in: Journal of Applied Probability 37 (2000) 2, pp. 470-479. To see the final version of this paper please visit the publisher's website. Access to the published version may require a subscription.
Keywords: Correlated Random Walk / Combinatorial Solution / Absorbing Boundaries
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 12 Jul 2006 07:34
Last Modified: 11 Jun 2011 08:56
URI: http://epub.wu.ac.at/id/eprint/1058

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