A New Family of Solvable Pearson-Dirichlet Random Walks

An n-step Pearson-Gamma random walk in ℝd starts at the origin and consists of n independent steps with gamma distributed lengths and uniform orientations. The gamma distribution of each step length has a shape parameter q>0. Constrained random walks of n steps in ℝd are obtained from the latter walks by imposing that the sum of the step lengths is equal to a fixed value. Simple closed-form expressions were obtained in particular for the distribution of the endpoint of such constrained walks for any d≥d0 and any n≥2 when q is either \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$q = \frac{d}{2} - 1 $\end{document} (d0=3) or q=d−1 (d0=2) (Le Caër in J. Stat. Phys. 140:728–751, 2010). When the total walk length is chosen, without loss of generality, to be equal to 1, then the constrained step lengths have a Dirichlet distribution whose parameters are all equal to q and the associated walk is thus named a Pearson-Dirichlet random walk. The density of the endpoint position of a n-step planar walk of this type (n≥2), with q=d=2, was shown recently to be a weighted mixture of 1+floor(n/2) endpoint densities of planar Pearson-Dirichlet walks with q=1 (Beghin and Orsingher in Stochastics 82:201–229, 2010). The previous result is generalized to any walk space dimension and any number of steps n≥2 when the parameter of the Pearson-Dirichlet random walk is q=d>1. We rely on the connection between an unconstrained random walk and a constrained one, which have both the same n and the same q=d, to obtain a closed-form expression of the endpoint density. The latter is a weighted mixture of 1+floor(n/2) densities with simple forms, equivalently expressed as a product of a power and a Gauss hypergeometric function. The weights are products of factors which depends both on d and n and Bessel numbers independent of d.