Re:Random Walks: the mathematics in 1 dimension
by Ntrails on Tuesday February 02, 2016 @08:21AM
(#11019248)
If you find it GP, I'd love to see where the integral constructed comes from, since that's the clever part rather than the evaluation.
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Re:Random Walks: the mathematics in 1 dimension
by emfree on Tuesday February 02, 2016 @05:27PM
(#11023202)
Here's a reference I found for one way to do it: http://www.math.nus.edu.sg/~matsr/ProbII/Lec6.pdf (Theorem 2.1). You define the Green's function G(x, y) = \sum_n Pr_x(S_n=y), where x and y are 3-vectors and Pr_x(S_n=y) is the probability that an n-step random walk starting at x ends up at y. If you have an infinite random walk starting at 0, then G(0, 0) is the expected number of times that the walk returns to 0. That's what the mathworld link calls u(3). You can use Fourier inversion to compute G(0, 0) -- the link gives the gnarly details. It's pretty cool.