Some martingale properties of the simple random walk and its maximum process

DOI10.1016/J.SPL.2024.110076MaRDI QIDQ6540921zbMATH OpenFDO

Authors Takahiko Fujita, Naohiro Yoshida

Publication date 17 May 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2024.110076

zbMATH Keywords

discrete Azéma-Yor martingalediscrete Skorokhod embeddingKennedy martingalemartingalesimple random walk

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Sums of independent random variables; random walks (60G50) Brownian motion (60J65)

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Cites work

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• Time reversal of random walks in one dimension

Cited in

(1)

• On excursions associated with a certain local time of simple symmetric random walks, with applications

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