A matrix equation approach to solving recurrence relations in two-dimensional random walks

Abstract

The purpose of this paper is to provide explicit formulas for a variety of probabilistic quantities associated with an asymmetric random walk on a finite rectangular lattice with absorbing barriers. Quantities of interest include probabilities that a walker will exit the lattice onto some particular set of boundary states, the expected duration of the walk, and the expected number of visits to one state given a start in another. These quantities are shown to satisfy two-dimensional recurrence relations that are very similar in structure. In each case, the recurrence relations may be represented by matrix equations of the form X = AX + XB + C, where A and B are tridiagonal Toeplitz matrices. The spectral properties of A and B are investigated and used to provide solutions to this matrix equation. The solutions to the matrix equations then lead to solutions for the recurrence relations in very general cases.