The Gillis–Domb–Fisher correlated random walk

Correlated random walk models figure prominently in many scientific disciplines. Of fundamental importance in such applications is the development of the characteristic function of then-step probability distribution since it contains complete information on the probability structure of the process. Using a simple algebraic lemma we derive then-step characteristic function of the Gillis correlated random walk together with other related results. In particular, we present a new and simple proof of Gillis's conjecture, consider the generalization to the Gillis–Domb–Fisher walk, and examine the effect of including an arbitrary initial distribution.