Absorption of a simple random walker

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A 1D random walk with absorbing barriers at 0 and N. Can we determine the mean time before an absorption event takes place at either barriers given that the probability to move left/right is $0.5$ everywhere except at barriers, where then the probability to be absorbed in next jump is $p$ and the probability to jump away from the barrier is $q?$ where $p>q$.

In the simpler case where p and q are also equal to 0.5, the mean time is known, $t_a=a(N-a)$ where $a$ is the starting site of the walker and 0 and N are the positions of the two barriers.

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Many interesting points have already been pointed out in the comments, amongst others by user Did, which in essence already contain an answer to the post, so I decided to write them up here as an answer for future readers.


Given that the absorbing barriers are placed at $0$ and $N,$ we have the following important transition probabilities: $N-1\to N-2$ happens with probability $q$ and $N-1\to N$ with probability $p$ ($q+p=1$), similarly, the transition $1\to 2$ happens with probability $q$ and $1\to 0$ with probability $p.$ All remaining transitions happen with probability $1/2.$ Thus we are only modifying the behaviour at the barriers, and asking how favouring absorption influences the mean time before an absorption event takes place.

Now we perform a Markov decomposition after one step of the walk, this yields the mean time before absorption $t_1 = 1+qt_2$ starting the walk from $1,$ $t_{N-1}=1+qt_{N-2}$ starting from $N-1$ and for every other starting point $2\leqslant k \leqslant N-2 ,$ the corresponding mean time is $t_k = 1+\frac{1}{2}(t_{k-1}+t_{k+1}).$ The latter condition implies that $t_k$ ought to take the form of $$t_k=uk+v-k^2\tag{1}$$ for some couple $(u,v)$ independent of $k.$ Moreover, the former conditions on $t_1$ and $t_{N-1}$ imply the following relations: $$ \begin{align} u+v-1 =& 1+q(2u+v-4) \tag{2} \\ u(N-1)+v-(N-1)^2 =& 1+q(u(N-2)+v-(N-2)^2). \tag{3} \end{align} $$ The equations $(1), (2)$ and $(3)$ together form a system of equation that can be solved, yielding: $$u=N\qquad v=((q/p)-1)(N-2)$$ hence the modified mean time before absorption is given by:

$$ t_a = a(N-a) + ((q/p)-1)(N-2) $$ for every starting point $a$ such that $1\leqslant a\leqslant N-1.$