<p>We introduce a discrete-time random walk model on a one-dimensional lattice with a nonconstant sojourn time and prove that the discrete density converges to a solution of a continuum diffusion equation. Our random walk model is not Markovian due to the heterogeneity in the sojourn time, unlike a random walk model with a nonconstant walk length. We derive a Markovian process by choosing appropriate subindexes of the time-space grid points and then show the convergence of its discrete density through the parabolic-scale limit. We also find Green’s function of the continuum diffusion equation and present three Monte Carlo simulations to validate the random walk model and the diffusion equation.</p>

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Random Walk with Heterogeneous Sojourn Time

  • Jaywan Chung,
  • Yong-Jung Kim,
  • Min-Gi Lee

摘要

We introduce a discrete-time random walk model on a one-dimensional lattice with a nonconstant sojourn time and prove that the discrete density converges to a solution of a continuum diffusion equation. Our random walk model is not Markovian due to the heterogeneity in the sojourn time, unlike a random walk model with a nonconstant walk length. We derive a Markovian process by choosing appropriate subindexes of the time-space grid points and then show the convergence of its discrete density through the parabolic-scale limit. We also find Green’s function of the continuum diffusion equation and present three Monte Carlo simulations to validate the random walk model and the diffusion equation.