Random Walk Integrals

Jonathan M. Borwein Dirk Nuyens Armin Straub and James Wan , , , October 19, 2010

Abstract We study the expected distance of a two-dimensional walk in the plane with unit steps in random directions. A series evaluation and recursions are obtained, making it possible to explicitly formulate this distance for small number of steps. Closed form expressions for all the moments of a 2-step and a 3-step walk are given, and a formula is conjectured for the 4-step walk. Our interest is on closed forms and eciently computable forms. Heavy use is made of the analytic continuation of the underlying integral.

Introduction, History and Preliminaries

We consider, for various values of s, the n-dimensional integral s n Wn (s) := e2xk i dx n [0,1]
k=1

(1)

which occurs in the theory of uniform random walk integrals in the plane, where at each step a unit-step is taken in a random direction, see Figure 1. As such, the integral (1) expresses the s-th moment of the distance to the origin after n steps. Particularly interesting is the special case Wn (1) of the expected distance after n steps. A lot is known about the one-dimensional random walk. For instance, its expected distance after n unit-steps is (n 1)!!/(n 2)!! when n is even, and n!!/(n 1)!! when n is odd. Here n!! is the double factorial. Asymptotically this distance behaves like 2n/. For the two-dimensional walk no such explicit expressions were known, though the expected value for the root-mean-square distance is well-known to be just n; in this case the implicit square root in (1) disappears which greatly simplies the problem.
CARMA, University of Newcastle, Australia. Email: jonathan.borwein@newcastle.edu.au. K.U.Leuven, Belgium. Email: dirk.nuyens@cs.kuleuven.be; part of this work done while a research associate at the Department of Mathematics and Statistics, University of New South Wales, Australia. Tulane University, New Orleans, USA. Email: astraub@tulane.edu. CARMA, University of Newcastle, Australia. Email: james.wan@newcastle.edu.au.

The term random walk rst appears in a question by Karl Pearson in Nature in 1905 [Pea1905]. He asked for the probability density of a two-dimensional random walk couched in the language of how far a rambler (hill walker) might walk. This triggered a response by Lord Rayleigh [Ray1905] just one week later. Rayleigh replied that he had considered the problem earlier in the context of the composition of vibrations of random 2 phases, and gave the probability distribution 2x ex /n for large n. This quickly leads to a n good approximation for Wn (s) for large n and xed s = 1, 2, 3, . . .. Another week later, Pearson again wrote in Nature, see [Pea1905b], to note that G. J. Bennett had given a solution for the probability distribution for n = 3 which can be written in terms of the complete elliptic integral of the rst kind K. This density function can be written as x (x + 1)3 (3 x) p3 (x) = Re K , (2) 2 16x see, e.g., [Hug95] and [Pea1906]. Pearson concluded that there was still great interest in the case of small n which as he had noted is dramatically dierent from that of large n. It transpires that the solution of (2) is quite clumsy to work with; a much improved hypergeometric solution is obtained in [BSWZ10]: for 0 x 4, 2 x2 9 x2 2 3x 1 2 p3 (x) = , ; 1; . (3) 2 F1 (3 + x2 ) 3 3 (3 + x2 )3 In further response to Pearson, Kluyver [Klu1906] made a lovely analysis of the cumulative distribution function of the distance traveled by a rambler in the plane for various choices of step length.

(a) Several 4-step walks

(b) A 500-step walk

Figure 1: Random walks in the plane.

Although much had been done in generalizing the problem, for instance allowing walks in three dimensionswhere the analysis is somewhat simpler, varying the step lengths, conning the walks to dierent kinds of lattices, and calculating whether and when the walker would return to the origin (an excellent source of these results can be found in [Hug95]), apparently virtually no new light was shed on the original problem after the very productive period aforementioned. The moments, in particular for n = 3 and n = 4 have not been studied, and closed forms had not been obtained before. The progress we make here (and in [BSW10], [BSWZ10]) rely on techniques, for instance analysis of Meijer G-functions and their relationship with generalized hypergeometric series, that were fully developed only much later in the 20th century. It should be emphasized that we are more interested in the detailed arithmetic of the random walks rather than the probability per se; in particular, one of our main interests is in the search for closed forms. In fact, our results provide some striking closed forms for a large class of nontrivial Meijer G-functions as is further studied in [BSW10], where the results obtained here for the moments and poles are also extended. A complementary study of the densities, the derivatives of Wn (s), as well as a partial resolution of Conjecture 1, is conducted in [BSWZ10]. Applications of two-dimensional random walks are numerous and well-known; for instance, [Hug95] mentions that they may be used to model the random migration of an organism possessing agella; analysing the superposition of waves (e.g., from a laser beam bouncing o an irregular surface); and vibrations of arbitrary frequencies. The subject also nds use in Brownian motion and quantum chemistry. We learned of the special case for s = 1 of (1) from the whiteboard in the common room at the University of New South Wales. It had been written down by Peter Donovan as a generalization of a discrete cryptographic problem, as discussed in [Don09]. Some numerical values of Wn evaluated at integers are shown in Tables 1 and 2. One immediately notices the apparent integrality of the sequences for the even momentswhich are the moments of the squared expected distance, and that the square root for s = 2 gives the root-mean square distance n. Several of these sequences were found in the Online Encyclopedia of Integer Sequences [Slo09]. By experimentation and some sketchy arguments we quickly conjectured and strongly believed that, for k a nonnegative integer 1 k k , , W3 (k) = Re 3 F2 2 2 2 4 . (4) 1, 1

Appropriately dened, (4) also holds for negative odd integers. The reason for (4) was long a mystery, but it will be explained at the end of the paper. In Section 2 we present an innite series expression for Wn (s). From this it then follows that the even moments Wn (2k) are given by integer sequences. The combinatorial features of fn (k) := Wn (2k), k a nonnegative integer, are then studied in Section 3. We show that there is a recurrence relation for the numbers fn (k) and conrm an observation from 3

n 2 3 4 5 6

s=2 2 3 4 5 6

s=4 6 15 28 45 66

s=6 20 93 256 545 996

s=8 70 639 2716 7885 18306

s = 10 252 4653 31504 127905 384156

[Slo09] A000984 A002893 A002895

Table 1: Wn (s) at even integers. n 2 3 4 5 6 s=1 1.27324 1.57460 1.79909 2.00816 2.19386 s=3 3.39531 6.45168 10.1207 14.2896 18.9133 s=5 10.8650 36.7052 82.6515 152.316 248.759 s=7 37.2514 241.544 822.273 2037.14 4186.19 s=9 132.449 1714.62 9169.62 31393.1 82718.9

Table 2: Wn (s) at odd integers. Table 1 that the last digit in the column for s = 10 is always n mod 10. The discovery of (4) was precipitated by the form of f3 given in (10). In Section 4 some analytic results are given, and the recursions for fn (k) are lifted to Wn (s) by the use of Carlsons theorem. The recursions for n = 2, 3, 4, 5 are given explicitly as an example. These recursions then give further information regarding the pole structure of Wn (s). Plots of the analytic continuation of Wn (s) on the negative real axis are given in Figure 2. From here we conjecture the recursion W2n (s) =
?

s/22
j0

W2n1 (s 2j).

In Section 6 we explore the underlying probability model more closely starting with work of Kluyver [Klu1906]. This leads to an alternative tractable form for W3 (s) that eventually allows us to prove (4). The ability to compute the moments (and the densities) accurately to reasonably high accuracy was central to our work. This is not easy, and so some comments on obtaining high precision numerical evaluations of Wn (s) are given in Appendix A.2. In fact, more than 70 years after the problem was posed, [Merz79] remarks that for the densities of 4, 5 and 6-steps walks, it has remained dicult to obtain reliable values. In [BSWZ10] a closed hypergeometric form for the 4-step density is given, while in [BB10], a summary of closed forms related to the walk integrals are given, as well as a more comprehensive study of the numerics of such integrations.

4 3 2 1

4 3 2 1

2 1 2 3

2 1 2 3

(a) W3
4 3 2 1

(b) W4
4 3 2 1

2 1 2 3

2 1 2 3

(c) W5

(d) W6

Figure 2: Various Wn and their analytic continuations.

A Series Evaluation of Wn (s)

In this section a series evaluation of Wn (s) is presented. For our purposes, its main interest lies in the fact that it specializes to an expression for Wn (2k), k 0 an integer, as a nite sum. This sum and its combinatorics will be studied in Section 3. We therefore restrict ourselves here to give a short formal proof of the series evaluation which ignores any convergence issues; note that these dont arise when s is an even integer. A more complete and elementary proof is given in Appendix A.1. Chronologically our rst one, as a side-product it yields other interesting integral evaluations. Theorem 1. For n = 1, 2, . . . and Re s 0 one has Wn (s) = n
s

m0

(1)

m s/2 (1)k m m k n2k

k=0

a1 ++an =k

k a1 , . . . , a n

(5)

Proof. In the spirit of the residue theorem of complex analysis, if f (x1 , . . . , xn ) has a Laurent expansion around the origin then ct f (x1 , . . . , xn ) = f (e2ix1 , . . . , e2ixn ) dx (6)
[0,1]n

where ct denotes the operator which extracts from an expression the constant term of its Laurent expansion. In light of (6), the integral denition (1) of Wn (s) may be restated as Wn (s) = ct ((x1 + + xn )(1/x1 + + 1/xn ))s/2 . Formally expanding the right-hand side, we obtain (1)m s/2 m Wn (s) = ct ns n2 (x1 + + xn )(1/x1 + + 1/xn ) , 2m n m
m0

(7)

and the claim follows from the next proposition. Proposition 1. For n, m positive integers the constant term of (n2 (x1 + + xn )(1/x1 + + 1/xn ))m is n
2m m (1)k m k=0

n2k

a1 ++an =k

k a1 , . . . , an

Proof. After expanding (n2 (x1 + + xn )(1/x1 + + 1/xn ))m by the binomial theorem, it remains to show that the constant term of ((x1 + + xn )(1/x1 + + 1/xn ))k is k a1 , . . . , a n 2 .

a1 ++an =k

On using the multinomial theorem, (x1 + + xn )k (1/x1 + + 1/xn )k k = x a1 x an n 1 a1 , . . . , a n

a1 ++an =k

b1 ++bn =k

k xb1 xbn , n 1 b1 , . . . , b n

and the constant term is now obtained by matching a1 = b1 , . . . , an = bn . From Theorem 1 we learn additionally that the even moments are integer sequences actually sums of squares of multinomialsas detailed by the following corollary. Corollary 1. For nonnegative integers k and n, Wn (2k) = k a1 , . . . , an 2 .

a1 ++an =k

Proof. This follows easily from (7) since in that case the right-hand side can be nitely expanded. Alternatively, the result is a consequence of Theorem 1 and the fact that the binomial transform, {bm }m0 , of a sequence {ak }k0 , where m k m bm := (1) ak , k
k=0

is an involution [CG96].

Combinatorial Features

In light of Corollary 1, we consider the combinatorial sums 2 k fn (k) = . a1 , . . . , a n

a1 ++an =k

(8)

of multinomial coecients squared. These numbers also appear in [RS09] in the following way: fn (k) counts the number of abelian squares of length 2k over an alphabet with n letters (that is strings xx of length 2k from an alphabet with n letters such that x is a permutation of x). It is not hard to see that fn1 +n2 (k) =
k k 2 j=0

fn1 (j) fn2 (k j),

(9)

for two non-overlapping alphabets with n1 and n2 letters. In particular, we may use (9) to obtain f1 (k) = 1, f2 (k) = 2k , as well as k f3 (k) =
k k 2 2j j=0

= 3 F2

f4 (k) =

k k 2 2j 2(k j) j=0

2 , k, k 4

1, 1 =

kj

2k k

2k k, k, k 1 = , 3 F2 k 1, k + 1 4
4 F3

(10)

Here and below p Fq notates the generalised hypergeometric function. In general, (9) can be used to write fn as a sum with at most n/2 1 summation indices. We recall a generating function for (fn (k)) used in [BBBG08]. Let In (z) denote the k=0 modied Bessel function of the rst kind. Then n zk zk = 0 F1 (1; z)n = I0 (2 z)n . fn (k) = 2 2 (k!) (k!)
k0 k0

1 2 , k, k, k 1 1, 1, k + 1 2

(11)

It can be anticipated from (8) that, for xed n, the sequence fn (k) will satisfy a linear recurrence with polynomial coecients. A procedure for constructing these recurrences has been given in [Bar64]. In particular, in that paper the recursions for 3 n 6 are given explicitly. Moreover, an explicit general formula for the recurrences is given in [Ver04]: Theorem 2. For xed n 2, the sequence fn (k) satises a recurrence of order = n/2 with polynomial coecients of degree n 1: i 1 j ki k n1 fn (k j) = 0. i (n + 1 i ) (12) ki+1 ,...,
j0
1 j

i=1

Here, the sum is over all sequences 1 , . . . , j such that 0 i n and i+1 i 2.

The recursions for n = 2, 3, 4, 5 are listed in Example 1 in Section 4.3. As a consequence of Theorem 2 we obtain: Theorem 3. For xed n 2, the sequence fn (k) satises a recurrence of order = n/2 with polynomial coecients of degree n 1: cn,0 (k)fn (k) + + cn, (k)fn (k + ) = 0 where
1 n n+12 cn,0 (k) = (1) (n!!)2 k + (k + j)2 , 4 j=1

(13)

(14)

and cn, (k) = (k + )n1 . Here n!! =

Proof. The claim for cn, follows straight from (12). By (12), cn,0 is given by cn,0 (k ) = k n1

1
i=0

(n 2i) is the double factorial. i 1

1 ,..., i=1

i (n + 1 i )

ki ki+1

(15)

where the sum is again over all sequences 1 , . . . , such that 0 i n and i+1 i 2. If n is odd then there is only one such sequence, namely {n, n 2, n 4, . . .}, and it follows that 1 2 cn,0 (k ) = (1) (n!!) (k j)2 (16)
j=1

in accordance with (14). When n = 2 is even, there are + 1 sequences, namely 0 = {n, n 2, n 4, . . . , 2}, and i for 1 i , where i is constructed from 0 by subtracting all elements by 1 starting from the ( + 1 i)th position. 8

Now by (15), we have cn,0 (k ) = (1) 1

i=1

(k i)2

j=0 i=1

aj (n i

+1

aj ) i

(k + j),

(17)

where aj denotes the ith element of aj . i We make the key observation that the sum in (17) is symmetric, so writing it backwards and adding that to itself, we factor out the term involving k: j j j 2 ai (n + 1 ai ) (k + j) = (2k ) ai (n + 1 aj ). (18) i
j=0 i=1 j=0 i=1

As we know the sequences aj explicitly, the product on the right of (18) simplies to 2j 22j (2)!
j

Hence the sum on the right of (18) is

j=0

(2)!

2j 22j
j

which can be veried, for instance, using the snake oil method ([Wil93]). Substituting this into (17) gives (14) for even n. Remark 1. For xed k, the map n fn (k) can be given by the evaluation of a polynomial in n of degree k. This follows from fn (k) =
k n j=0

= 22 !2 ,

(19)

a1 ++aj =k ai >0

k a1 , . . . , aj

(20)

because the right-hand side is a linear combination (with positive coecients only depend ing on k) of the polynomials n = n(n1)(nj+1) in n of degree j for j = 0, 1, . . . , k. j j! From (20) the coecient of n is seen to be (k!)2 . We therefore formally obtain the k rst-order approximation Wn (s) n ns/2 (s/2+1) for n going innity, see also [Klu1906]. to n In particular, Wn (1) n n/2. Similarly, the coecient of k1 is k1 (k!)2 which gives 4 rise to the second-order approximation k1 n k(k 1) 2 n 2 (k!) + (k!) = k!nk k!nk1 + O(nk2 ) k 4 k1 4 9

of fn (k). We therefore obtain s 1 s 1 s s/21 Wn (s) n n n +1 + +2 +3 , 2 2 2 4 2 which is exact for s = 0, 2, 4. In particular, Wn (1) n n/2 + /n/32. More general approximations are given in [Cra09]. Remark 2. It follows straight from (8) that, for primes p, fn (p) n modulo p. Further, for k 1, fn (k) n modulo 2. This may be derived inductively from the recurrence (9) since, assuming that fn (k) n modulo 2 for some n and all k 1, fn+1 (k) =
k k 2 j=0

fn (j) 1 +

k k j=1

n = 1 + n(2k 1) n + 1

(mod 2).

Hence for odd primes p, The congruence (21) also holds for p = 2 since fn (2) = (2n 1)n, compare (20). In particular, (21) conrms that indeed the last digit in the column for s = 10 is always n mod 10an observation from Table 1. Remark 3. The integers f3 (k) (respectively f4 (k)) also arise in physics, see for instance [BBBG08], and are referred to as hexagonal (respectively diamond ) lattice integers. The corresponding entries in Sloanes online encyclopedia [Slo09] are A002893 and A002895. We recall the following formulae [BBBG08, (186)(188)], relating these sequences in nonobvious ways: 2 x3k f3 (k)(x)k = f2 (k)3 1 ((1 + x)3 (1 + 9x))k+ 2 k0 k0 = =
k0

fn (p) n

(mod 2p).

(21)

f2 (k)f3 (k) f4 (k)

k0

(x(1 + x)(1 + 9x))k ((1 3x)(1 + 3x))2k+1

xk . ((1 + x)(1 + 9x))k+1

It would be instructive to similarly engage f5 (k) for which we have k 4 k 2k j, j, j 1 j f5 (k) = , 2 k 3 F2 k 1, 1 j 4 2 2j

j=0

as follows from (9).

10

4
4.1

Analytic Results
Analyticity

We start with a preliminary investigation of the analyticity of Wn (s) for a given n. Proposition 2. Wn (s) is analytic at least for Re s > 0. Proof. Let s0 be a real number such that the integral in (1) converges for s = s0 . Then we claim that Wn (s) is analytic in s for Re s > s0 . To this end, let s be such that s0 < Re s s0 + for some real > 0. For any real 0 a n, |as | = aRe s n as0 , and therefore sup
s0 <Re ss0 +

This local boundedness implies, see for instance [Mat01], that Wn (s) as dened by the integral in (1) is analytic in s for Re s > s0 . Since the integral clearly converges for s = 0, the claim follows. This result will be extended in Theorem 6 and Corollary 2.

s n e2xk i dx n Wn (s0 ) < . n [0,1]

k=1

4.2

n = 1 and n = 2

It follows straight from the integral denition (1) that W1 (s) = 1. In the case n = 2, direct integration of (37) with n = 2 yields 1/2 s s+1 s W2 (s) = 2 cos(t) dt = , s/2 0

(22)

which may also be obtained using (5). In particular, W2 (1) = 4/. It may be worth noting that neither Maple 13 nor Mathematica 7 can evaluate W2 (1) if it is entered naively, each returning the symbolic answer 0.

4.3

Functional Equations

We may lift the recursive structure of fn , dened in Section 3, to Wn to a fair degree on appealing to Carlsons theorem [Tit39, 5.81]. We recall that a function f is of exponential type in a region if |f (z)| M ec|z| for some constants M and c.

Theorem 4 (Carlson). Let f be analytic in the right half-plane Re z 0 and of exponential type with the additional requirement that |f (z)| M ed|z| 11

for some d < on the imaginary axis Re z = 0. If f (k) = 0 for k = 0, 1, 2, . . . then f (z) = 0 identically. Theorem 5. Given that fn (k) satises a recurrence cn,0 (k)fn (k) + + cn, (k)fn (k + ) = 0 with polynomial coecients cn,j (k) (see Theorem 3) then Wn (s) satises the corresponding functional equation cn,0 (s/2)Wn (s) + + cn, (s/2)Wn (s + 2) = 0, for Re s 0. Proof. Let Un (s) := cn,0 (s)Wn (2s) + + cn, (s)Wn (2s + 2). Since fn (k) = Wn (2k) by Corollary 1, Un (s) vanishes at the nonnegative integers by assumption. Consequently, Un (s) is zero throughout the right half-plane and we are done once we conrm that Theorem 4 applies. By Proposition 2, Wn (s) is analytic for Re s 0. Clearly, |Wn (s)| nRe s . Thus |Un (s)| |cn,0 (s)| + |cn,1 (s)|n2 + + |cn, (s)|n2 n2 Re s . In particular, Un (s) is of exponential type. Further, Un (s) is polynomially bounded on the imaginary axis Re s = 0. Thus Un satises the growth conditions of Theorem 4. Example 1. For n = 2, 3, 4, 5 we nd (s + 2)W2 (s + 2) 4(s + 1)W2 (s) = 0,

(s + 4)3 W4 (s + 4) 4(s + 3)(5s2 + 30s + 48)W4 (s + 2) + 64(s + 2)3 W4 (s) = 0, (s + 6)4 W5 (s + 6) (35(s + 5)4 + 42(s + 5)2 + 3)W5 (s + 4) + (s + 4)2 (259(s + 4)2 + 104)W5 (s + 2) 225(s + 4)2 (s + 2)2 W5 (s) = 0. We note that in each case the recursion lets us determine signicant information about the nature and position of any poles of Wn (s). We exploit this in the next theorem for s n 3. The case n = 2 is transparent since as determined above W2 (s) = s/2 which has simple poles at the negative odd integers.

(s + 4) W3 (s + 4) 2(5s + 30s + 46)W3 (s + 2) + 9(s + 2)2 W3 (s) = 0,

12

Theorem 6. Let an integer n 3 be given. The recursion guaranteed by Theorem 5 provides an analytic continuation of Wn (s) to all of the complex plane with poles of at most order two at certain negative integers. Proof. Proposition 2 proves analyticity in the right halfplane. It is clear that the recursion given by Theorem 5 ensures an analytic continuation with poles only possible at negative integer values compatible with the recursion. Indeed, with = n/2 we have Wn (s) = cn,1 (s/2)Wn (s + 2) + + cn, (s/2)Wn (s + 2) cn,0 (s/2) (23)

with the cn,j as in (13). We observe that the right side of (23) only involves Wn (s + 2k) for k 1. Therefore the least negative pole can only occur at a zero of cn,0 (s/2) which is explicitly given in (14). We then note that the recursion forces poles to be simple or of order two, and to be replicated as claimed. Corollary 2. If n 3 then Wn (s), as given by (1), is analytic for Re s > 2.

Proof. This follows directly from Theorem 6, the fact that cn,0 (s/2) given in (14) has no zero for s = 1, and the proof of Proposition 2. In Figure 2 the analytic continuations for each of W3 , W4 , W5 , and W6 are plotted on the real line. Example 2. Using the recurrence given in Example 1 we nd that W3 (s) has simple poles at s = 2, 4, 6, . . ., compare Figure 2(a). Moreover, the residue at s = 2 is given by Res2 (W3 ) = 2 , and all other residues of W3 are rational multiples thereof. This may 3 be obtained from the integral representation given in (26) observing that, at s a negative even integer, the residue contributions are entirely from the rst term. Example 3. Similarly, we nd that W4 has double poles at 2, 4, 6, . . ., compare Figure 2(b). With more work, it is also possible to show that 3 lim (s + 2)2 W4 (s) = 2 . s2 2 Remark 4. More generally, it would appear that Theorem 6 can be extended to show that for n odd Wn has simple poles at 2p for p = 1, 2, 3 . . ., while for n even Wn has simple poles at 2p and 2(1 p) n/2 for p = 1, 2, 3 . . . which will overlap when 4|n. This conjecture is further investigated in [BSW10].

We close this section by remarking that the knowledge about the poles of Wn for instance reveals the asymptotic behaviour of the densities pn at 0. This is detailed in [BSWZ10] where closed forms for the densities are investigated. 13

4.4

Convolution Series

Next, we tried to lift the convolution sum (9) to Wn (s). Our conjecture is: Conjecture 1. For positive integers n and complex s, s/22 ? W2n (s) = W2n1 (s 2j). j
j0

(24)

It is understood that the right-hand side of (24) refers to the analytic continuation of Wn as guaranteed by Theorem 6. Conjecture 1, which is consistent with the pole structure described in Remark 4, has been conrmed by David Broadhurst [Bro09] using a Bessel integral representation for Wn , given in (25), for n = 2, 3, 4, 5 and odd integers s < 50 to a precision of 50 digits. By (9) the conjecture clearly holds for s an even positive integer. For n = 1 it is conrmed next. Example 4. For n = 1 we obtain from (24) using W1 (s) = 1, s/22 s W2 (s) = = j s/2
j0

which agrees with (22).

Bessel integral representations

As noted such problems have a long lineage. In response to the questions posed by Pearson in Nature, Kluyver [Klu1906] made a lovely analysis of the cumulative distribution function of the distance traveled by a rambler in the plane for various xed step lengths. In particular, for our uniform walk Kluyver provides the Bessel function representation n Pn (t) = t J1 (xt) J0 (x) dx. Thus, Wn (s) = n
0 0 ts pn (t) dt, where pn = Pn . From here, Broadhurst [Bro09] obtains s 1 d k n s+1k (1 + 2 ) 2ks1 Wn (s) = 2 x J0 (x) dx (25) s (k 2 ) 0 x dx

for real s; valid as long as 2k > s > max(2, n ). 2

Remark 5. For n = 3, 4, symbolic integration in Mathematica of (25) leads to interesting analytic continuations [Cra09] such as 1 1 1 s s s s s 2 2, 2, 2 1 1 s 2, 2, 2 1 W3 (s) = 2s+1 tan + s 3 F2 , (26) 3 F2 s1 s+3 s+3 4 2 2 1, s1 4 2 2 2 , 2 2 14

and s 1 W4 (s) = 2s tan 2 2 s

s1 2

4 F3

1 1 1 s 2, 2, 2, 2 + 1 s+3 s+3 s+3 1 2 , 2 , 2

s
s 2

4 F3

1 s s s 2, 2, 2, 2 1, 1, s1 2

1 .

(27)

We note that for s = 2k = 0, 2, 4, . . . the rst term in (26) (resp. (27)) is zero and the second is a formula given in (10) (resp. (11)). Thence, one can in principle prove (26) and (27) by applying Carlsons theoremafter showing the singularities at 1, 3, 5, . . . are removable. A rigorous proof and more details appear in [BSW10].

A Probabilistic Approach

In this section, we will take a probabilistic approach so as to be able to express our quantities of interest in terms of special functions which eventually allows us to explicitly evaluate W3 (s) at odd integers. The results of the previous sections are here taken together to nally proof (4) in Theorem 7. It is elementary to express the distance y of an (n + 1)-step walk conditioned on a given distance x of an n-step walk. By a simple application of the cosine rule we nd y 2 = x2 + 1 + 2x cos(), where is the outside angle of the triangle with sides of lengths x, 1, and y:
y 1 x

It follows that the s-th moment of an (n + 1)-step walk conditioned on a given distance x of an n-step walk is 1 s 1 s 4x s 2 , 2 gs (x) := y d = |x 1| 2 F1 . (28) 0 1 (x 1)2 Here we appealed to symmetry to restrict the angle to [0, ). We then evaluated the integral in hypergeometric form which, for instance, can be done with the help of Mathematica. Observe that gs (x) does not depend on n. Since Wn+1 (s) is the s-th moment of the distance of an (n + 1)-step walk, we obtain n Wn+1 (s) = gs (x) pn (x) dx, (29)
0

15

where pn (x) is the density of the distance x for an n-step walk. Clearly, for the 1-step walk we have p1 (x) = 1 (x), a Dirac delta function at x = 1. It also easily shown that the is probability density for a 2-step walk is given by p2 (x) = 2( 4 x2 )1 for 0 x 2 and 0 otherwise. The density p3 (x) is given in (2). For n = 3, based on (10) we dene 1 s s , , V3 (s) := 3 F2 2 2 2 4 , (30) 1, 1 Theorem 7. For nonnegative even integers and all odd integers k: W3 (k) = Re V3 (k).

so that by Corollary 1 and (10), W3 (2k) = V3 (2k) for nonnegative integers k. This led us to explore V3 (s) more generally numerically and so to conjecture and eventually prove the following:

Remark 6. Note that, for all complex s, the function V3 (s) also satises the recursion given in Example 1 for W3 (s)as is routine to prove symbolically using for instance creative telescoping [PWZ06]. However, V3 does not satisfy the growth conditions of Carlsons Theorem 4. Thus, it yields a rather nice illustration that the hypotheses can fail. Proof of Theorem 7. It remains to prove the result for odd integers. Since, as noted in Remark 6, for all complex s, the function V3 (s) dened in (30) also satises the recursion given in Example 1, it suces to show that the values given for s = 1 and s = 1 are correct. From (29), we have the following expression for W3 : 2 2 gs (x) 2 /2 W3 (s) = dx = gs (2 sin(t))dt. (31) 0 0 4 x2 For s = 1: equation (28), [BB87, Exercise 1c, p. 16], and Jacobis imaginary transformations [BB87, Exercises 7a) & 8b), p. 73] allow us to write 2 x g1 (x) = (x + 1)E = Re 2E(x) (1 x2 )K(x) (32) 2 x+1 /2 /2 where K(k) = 0 dt/ 1 k 2 sin2 (t) and E = 0 1 k 2 sin2 (t) dt denote the complete elliptic integrals of the rst and second kind. Thus, from (31) and (32), /2 4 W3 (1) = 2 Re 2 E(2 sin(t)) (1 4 sin2 (t))K(2 sin(t)) dt 0 /2 /2 4 = 2 Re 2 1 4 sin2 (t) sin2 (r) dtdr 0 0 /2 /2 4 1 4 sin2 (t) 2 Re dtdr. 1 4 sin2 (t) sin2 (r) 0 0 16

Amalgamating the two last integrals and parameterizing, we consider 4 Q(a) := 2

/2 /2 0

We now use the binomial theorem to integrate (33) term-by-term for |a| < 1 and 2 /2 substitute 0 sin2m (t) dt = (1)m 1/2 throughout. Moreover, (1)m = ()m /m! m m where the later denotes the Pochhammer symbol. Evaluation of the consequent innite sum produces: 1/2 1/2 2 1/2 1/2 1/2 2 Q(a) = (1)k a2k a2k+2 2a2k+2 k k k k+1 k+1 k0 3 1/2 1 = (1)k a2k k (1 2k)2 k0 1 1 1 2, 2, 2 2 a . = 3 F2 1, 1 Analytic continuation to a = 2 yields the claimed result as per for s = 1. For s = 1: we similarly and more easily use (28) and (31) to derive
/2

1 + a2 sin2 (t) 2 a2 sin2 (t) sin2 (r) dtdr. 1 a2 sin2 (t) sin2 (r)

(33)

4 W3 (1) = Re 2 4 = Re 2

K(2 sin(t)) dt
0 /2 /2 0

1 dtdr = V3 (1). 1 4 sin2 (t) sin2 (r)

Example 5. Theorem 7 allows us to establish the following equivalent expressions for W3 (1): 1 1 1 1 1 1 4 3 2, 2, 2 1 1 3 2, 2, 2 1 W3 (1) = 3 F2 4 + 24 3 F2 3 1, 1 2, 2 4 K 2 (k3 ) 1 =2 3 + 3 2 2 K (k3 ) 3 21/3 6 1 27 22/3 6 2 = + . 16 4 3 4 4 3 These rely on using Legendres identity andseveral Clausen-like product formulae, plus Legendres evaluation of K(k3 ) where k3 := 231 is the third singular value as in [BB87]. 2 17

More simply but similarly, we have K 2 (k3 ) 3 21/3 6 W3 (1) = 2 3 = 2 16 4 1 . 3

Using the recurrence presented in Example 1 it follows that similar expressions can be given for W3 evaluated at odd integers. In [BSW10] corresponding hypergeometric closed forms for W4 are presented.

Conclusion

The behaviour of these two-dimensional walks provides a fascinating blend of probabilistic, analytic, algebraic and combinatorial challenges. Acknowledgements We are grateful to David Bailey, David Broadhurst and Richard Crandall for helpful suggestions, to Bruno Salvy for reminding us of the existence of [Bar64], Michael Mossingho for showing us [Klu1906], and to Peter Donovan for stimulating this research and for much subsequent useful discussion. We also thank the referees for their careful reading and comments. The work of the third author, as a graduate student, was partially funded by NSF-DMS 0070567.

A
A.1

Appendix
A rigorous proof of Theorem 1

We begin with: Proposition 3. For complex s with Re s 0, Wn (s) = ns (1)m 2m s/2 2 m n [0,1]n sin2 ((xj xi )) dx. m (34)

m0

1i<jn

18

Proof. Start with n 2 n 2 n 2 e2xk i = cos(2xk ) + sin(2xk ) k=1 k=1 k=1 2 2 = cos(2xi ) + cos(2xj ) + sin(2xi ) + sin(2xj ) n(n 2) = 4
i<j

Therefore, noting that binomial expansion may be applied to the integrand outside a set of n-dimensional measure zero, n2 4
i<j

= n2 4 sin2 ((xj xi )) .
i<j

i<j

cos2 ((xj xi )) n(n 2)

Wn (s) =

[0,1]n

= ns

(1)m

[0,1]n m0

sin2 ((xj xi ))
i<j

s/2

dx

Thus the result follows once changing the order of integration and summation is justied. Observe that if s is real then (1)m s/2 has a xed sign for m > s/2 and we can apply m monotone convergence. On the other hand, if s is complex then we may use s/2 ( Re s/2) lim Rem = (s/2) , s/2 m
m

m 2m s/2 2 sin2 ((xj xi )) dx. m n

which follows from Stirlings approximation, and apply dominated convergence using the real case for comparison. We next evaluate the integrals in (34): Theorem 8. For nonnegative integers m, m m n 2m (1)k m 2 sin ((xj xi )) dx = 2 k n2k [0,1]n
i<j k=0

a1 ++an =k

k a1 , . . . , an

19

Proof. Denote the left-hand by In,m . Using Proposition 1 we note that the claim is equivalent to asserting that 22m In,m is the constant term of (n2 (x1 + + xn )(1/x1 + + 1/xn ))m . Observe that (n2 (x1 + + xn )(1/x1 + + 1/xn ))m m xj xi = 2 xj xi 1i<jn m (xj xi )2 . = (1)m xi xj
1i<jn

The result therefore follows from the next proposition.

As before, we denote by ct the operator which extracts from an expression the constant term of its Laurent expansion. Proposition 4. For any integers 1 i1 = j1 , . . . , im = jm n,
[0,1]n k=1 m

4 sin2 ((xjk xik )) dx = (1)m ct

k=1

m (xj xi )2 k k . xi k xjk

Proof. We prove this by evaluating both sides independently. First, we have LHS :=
m

[0,1]n m

k=1

4 sin2 ((xjk xik )) dx

m

= (1) = (1)
a,b

[0,1]n k=1

ei(xjk xik ) ei(xjk xik ) ei

[0,1]n

dx dx

(1)

k (ak +bk 2)/2

k (ak +bk )(xjk xik )

a,b

(1)

k (ak +bk )/2

cos
[0,1]n

(ak + bk )(xjk xik ) dx

where the last two sums are over all sequences a, b {1}m . In the last step the summands corresponding to (a, b) and (a, b) have been combined. Now note that, for a an even integer, 1 cos(b) if a = 0, cos((ax + b))dx = (35) 0 otherwise. 0 20

Since ak + bk is even, we may apply (35) iteratively to obtain 1 if a, b S, cos (ak + bk )(xjk xik ) dx = 0 otherwise, n [0,1]
k

where S denotes the set of sequences a, b {1}m such that

m k=1

(ak + bk )(xjk xik ) = 0

as a polynomial in x. It follows that LHS = On the other hand, consider RHS := (1)m ct
m (xj xi )2 k k , xik xjk

a,bS

(1)

k (ak +bk )/2

(36)

k=1

and observe that, by a similar argument as above, (ak +bk )/2 m m (xj xi )2 (ak +bk )/2 xjk k k (1) = (1) xik xjk xik
m k=1 a,b k=1

where the sum is again over all sequences a, b {1}m . From here, it is straight-forward to verify that RHS is equivalent to the expression given for LHS in (36). The desired evaluation is now available. On combining Theorem 8 and Proposition 3 we obtain that for Re s 0, Wn (s) = n This is Theorem 1. Remark 7. We briey outline the experimental genesis of the evaluation given in Theorem 8. The sequence 22m I3,m is Sloanes, [Slo09], A093388 where a link to [Ver99] is given. This paper contains the sum 2
2m s

m0

(1)

m s/2 (1)k m m k n2k

k=0

a1 ++an =k

k a1 , . . . , a n

I3,m = (1)

m m k=0

(8)

mk j=0

mk j

21

and further mentions that 22m I3,m is therefore the coecient of (xyz)m in (8xyz (x + y)(y + z)(z + x))m . Observe also that 22m I2,m is the coecient of (xy)m in (4xy (x + y)(y + x))m . It was then noted that 8xyz (x + y)(y + z)(z + x) = 32 xyz (x + y + z)(xy + yz + zx) and this line of extrapolation led to the correct conjecture, so that the next case would involve 42 wxyz (w + x + y + z)(wxy + xyz + yzw + zwx), which was what we have now proven.

A.2

Numerical Evaluations

A one-dimensional reduction of the integral (1) may be achieved by taking periodicity into account: s n1 Wn (s) = e2xk i d(x1 , . . . , xn1 ). (37) 1 + n1 [0,1]
k=1

From here, we note that quick and rough estimates are easily obtained using the Monte Carlo method. Moreover, since the integrand function is periodic this seems like an invitation to use lattice sequencesa quasi-Monte Carlo method. E.g., the lattice sequence from [CKN06] can be straightforwardly employed to calculate an entire table in one run by keeping a running sum over dierent values of n and s. A standard stochastic error estimator can then be obtained by random shifting. Generally, however, Broadhursts representation (25) seems to be the best available for high precision evaluations of Wn (s). We close by commenting on the special cases n = 3, 4. Example 6. The rst high precision evaluations of W3 were performed by David Bailey who conrmed the initially only conjectured Theorem 7 for s = 2, . . . , 7 to 175 digits. This was done on a 256-core LBNL system in roughly 15 minutes by applying tanh-sinh integration to 1 1 s/2 W3 (s) = 9 4(sin2 (x) + sin2 (y) + sin2 ((x y))) dydx,
0 0

which is obtained from (37) as in Proposition 3. More practical is the one-dimensional form (31) which can deliver high precision results in minutes on a simple laptop. For integral s, Theorem 7 allows extremely high precision evaluations. 22

Example 7. Assuming that Conjecture 1 holds for n = 2 (for a proof, see [BSWZ10]), Theorem 7 implies that for nonnegative integers k 1 k k s/22 ? 2 , 2 + j, 2 + j 4 . W4 (k) = Re 3 F2 j 1, 1
j0

This representation is very suitable for high precision evaluations of W4 since, roughly, one correct digit is added by each term of the sum. Formula (27) by Crandall also lends itself quite well for numerical work (by slightly perturbing s even for integral arguments).

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25