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An Algorithm to Compute the Equilibrium Distribution of a One-Dimensional Bounded Random Walk

Author

Listed:
  • M. J. Fryer

    (University of Essex, England)

  • C. B. Winsten

    (University of Essex, England)

Abstract

We present an algorithm that is suitable for finding the equilibrium distribution of a one-dimensional random walk in the presence of one or more boundaries. The method involves the evaluation of a “reduced” difference equation whose coefficients are found to have the very useful property of being insensitive to small changes in the parameters of the random walk and to rounding errors in the computation.

Suggested Citation

  • M. J. Fryer & C. B. Winsten, 1986. "An Algorithm to Compute the Equilibrium Distribution of a One-Dimensional Bounded Random Walk," Operations Research, INFORMS, vol. 34(3), pages 449-454, June.
    • Handle: RePEc:inm:oropre:v:34:y:1986:i:3:p:449-454
    DOI: 10.1287/opre.34.3.449
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