Random Walk
A random walk is a stochastic process of the form
where is a deterministic constant and the steps are independent and identically distributed random variables.
Definition 3.52 (Random Walk)
A random walk is a random process that can be expressed as
where is a deterministic constant and are independent and identically distributed (i.i.d.) random variables.
The steps of the random walk are the random variables .
Related
Stated in
- Definition 3.52 (Random Walk)§3.5 Random Walks