From Random Walks to Random Leaps: Generalizing Classic Markov Chains for Big Data Applications

Abstract

Simple random walks are a basic staple of the foundation of probability theory and form the building block of many useful and complex stochastic processes. In this paper we study a natural generalization of the random walk to a process in which the allowed step sizes take values in the set $\{\pm1,\pm2,\ldots,\pm k\}$, a process we call a random leap. The need to analyze such models arises naturally in modern-day data science and so-called "big data" applications. We provide closed-form expressions for quantities associated with first passage times and absorption events of random leaps. These expressions are formulated in terms of the roots of the characteristic polynomial of a certain recurrence relation associated with the transition probabilities. Our analysis shows that the expressions for absorption probabilities for the classical simple random walk are a special case of a universal result that is very elegant. We also consider an important variant of a random leap: the reflecting random leap. We demonstrate that the reflecting random leap exhibits more interesting behavior in regard to the existence of a stationary distribution and properties thereof. Questions relating to recurrence/transience are also addressed, as well as an application of the random leap.