Iterated random walkL. Turban
Laboratoire de Physique des Matériaux, UMR CNRS 7556, Université Henri Poincaré (Nancy 1) - BP 239, 54506 Vandoeuvre lès Nancy Cedex, France
(Received 23 September 2003; accepted in final form 15 December 2003)
The iterated random walk is a random process in which a random walker moves on a one-dimensional random walk which is itself taking place on a one-dimensional random walk, and so on. This process is investigated in the continuum limit using the method of moments. When the number of iterations , a time-independent asymptotic density is obtained. It has a simple symmetric exponential form which is stable against the modification of a finite number of iterations. When n is large, the deviation from the stationary density is exponentially small in n. The continuum results are compared to Monte Carlo data for the discrete iterated random walk.
05.40.-a - Fluctuation phenomena, random processes, noise, and Brownian motion.
02.50.-r - Probability theory, stochastic processes, and statistics.
66.30.-h - Diffusion in solids.
© EDP Sciences 2004