Encyclopedia of Operations Research and Management Science

2001 Edition
| Editors: Saul I. Gass, Carl M. Harris

Random walk

  • Saul I. Gass
  • Carl M. Harris
Reference work entry
DOI: https://doi.org/10.1007/1-4020-0611-X_854

If Sn = X1 + X2 + ⃛ + Xn, then Sn is a special discrete-time Markov process called a random walk if S0 = 0 and the random variables {Xi} are independent and identically distributed. The most common form of the random walk is the discrete one in which Xi =−1 or + 1. Markov chains; Markov processes.

Copyright information

© Kluwer Academic Publishers 2001

Authors and Affiliations

  • Saul I. Gass
    • 1
  • Carl M. Harris
    • 2
  1. 1.Robert H. Smith School of BusinessUniversity of MarylandCollege PartUSA
  2. 2.School of Information Technology & EngineeringGeorge Mason UniversityFairfaxUSA