Spitzer's identity for discrete random walks

A.J.E.M. Janssen; J. S.H. van Leeuwaarden

doi:10.1016/j.orl.2017.12.003

Spitzer's identity for discrete random walks

A.J.E.M. Janssen, J. S.H. van Leeuwaarden

Center for Quantum Materials and Technology Eindhoven

Onderzoeksoutput: Bijdrage aan tijdschrift › Tijdschriftartikel › Academic › peer review

1 Citaat (Scopus)

Samenvatting

Spitzer's identity describes the position of a reflected random walk over time in terms of a bivariate transform. Among its many applications in probability theory are congestion levels in queues and random walkers in physics. We present a derivation of Spitzer's identity for random walks with bounded jumps to the left, only using basic properties of analytic functions and contour integration. The main novelty is a reversed approach that recognizes a factored polynomial expression as the outcome of Cauchy's formula.

Originele taal-2	Engels
Pagina's (van-tot)	168-172
Aantal pagina's	5
Tijdschrift	Operations Research Letters
Volume	46
Nummer van het tijdschrift	2
DOI's	https://doi.org/10.1016/j.orl.2017.12.003
Status	Gepubliceerd - 1 mrt 2018

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10.1016/j.orl.2017.12.003

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Citeer dit

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