Occupation times sequences and martingales of simple random walks on the real line

MaRDI QIDQ5473280zbMATH OpenFDO

Authors Jaime Lobo

Publication date 20 June 2006

zbMATH Keywords

first passage timesoccupation timespredictable compensatorssimple random walksunimodality

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50)

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Cited in

(2)

• A note on absorption probabilities in one-dimensional random walk via complex-valued martingales
• An occupation time formula for semimartingales in \(\mathbb{R}^N\)

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