Codex Wiki
OurBigBook.com
Site
Source code
Simple symmetric random walk
Home
Mathematics
Area of mathematics
Probability and statistics
Probability theory
OurBigBook.com
Words: 21
A simple symmetric random walk starting from
S
0
has
S
n
=
S
0
+
∑
k
=
1
n
ξ
k
,
(15)
where the increments
ξ
k
are independent and satisfy
P
(
ξ
k
=
1
)
=
P
(
ξ
k
=
−
1
)
=
2
1
.
(16)
Ancestors
(5)
Probability theory
Probability and statistics
Area of mathematics
Mathematics
Home
Incoming links
(3)
Solution
Reflection principle for simple symmetric random walk
Symmetric signs forced by the martingale property