Geodesic
Discrete random processes with memory: Models and applications
Applications of Mathematics, Tome 65 (2020) no. 3, pp. 271-286.

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The contribution focuses on Bernoulli-like random walks, where the past events significantly affect the walk's future development. The main concern of the paper is therefore the formulation of models describing the dependence of transition probabilities on the process history. Such an impact can be incorporated explicitly and transition probabilities modulated using a few parameters reflecting the current state of the walk as well as the information about the past path. The behavior of proposed random walks, as well as the task of their parameter estimation, are studied both theoretically and with the aid of simulations.
DOI : 10.21136/AM.2020.0335-19
Classification : 60G50, 62F10
Keywords: random walk; history dependent transition probability; non-Markov process; success punishing walk; success rewarding walk 
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Kouřim, Tomáš; Volf, Petr. Discrete random processes with memory: Models and applications. Applications of Mathematics, Tome 65 (2020) no. 3, pp. 271-286. doi : 10.21136/AM.2020.0335-19. http://geodesic.mathdoc.fr/articles/10.21136/AM.2020.0335-19/

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