The properties of a certain generalization of simple random walk to continuous time are analyzed in this paper. After the definition, its transition probabilities, and the differential equations satisfied by those, are obtained. Under some conditions, the convergence of this random walk to a Wiener process is then established. Finally, absorption probabilities and mean times until absorption are calculated, giving some insight into the behaviour of the process.
@article{urn:eudml:doc:40696,
title = {Recorridos aleatorios simples en tiempo continuo.},
journal = {Trabajos de Estad\'\i stica e Investigaci\'on Operativa},
volume = {34},
year = {1983},
pages = {88-106},
zbl = {0734.60076},
mrnumber = {MR0829658},
language = {es},
url = {http://dml.mathdoc.fr/item/urn:eudml:doc:40696}
}
Vélez Ibarrola, Ricardo. Recorridos aleatorios simples en tiempo continuo.. Trabajos de Estadística e Investigación Operativa, Tome 34 (1983) pp. 88-106. http://gdmltest.u-ga.fr/item/urn:eudml:doc:40696/