Are Random Walks with Different Step Sizes Identical in Brownian Motion Limit?

[sjweinberg]

Consider a random walk (in any dimension) with N steps and a step size of 1. Take a real number \alpha > 0 and consider another random walk which takes \alpha^2 N steps but wil step size \frac{1}{\alpha}.

I immediately noticed that the mean deviation after the full walk in both cases is the same: \frac{1}{\alpha} \sqrt{\alpha^2 N} = \sqrt{N}. However, I'm curious to what extent these two random walks look identical. If were to take a Brownian motion type limit (where N becomes large and the step size 1 is thought of as being small), would the walks look identical?

Thanks in advance to any masters of statistics.

 

[chiro]

Hey sjweinberg.

Are you familiar witb Brownian motion and the Wiener process?

http://en.wikipedia.org/wiki/Brownian_motion

http://en.wikipedia.org/wiki/Wiener_process

 

[sjweinberg]

Hey sjweinberg.

Are you familiar witb Brownian motion and the Wiener process?

http://en.wikipedia.org/wiki/Brownian_motion

http://en.wikipedia.org/wiki/Wiener_process

Thanks! That answers my question.