Localization for controlled random walks and martingales

DOI10.1214/ECP.V19-3081MaRDI QIDQ743379zbMATH OpenWikidataFDO

Authors Ori Gurel-Gurevich, Yuval Peres, Ofer Zeitouni

Publication date 24 September 2014

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.4512

zbMATH Keywords

martingaleslocalizationstochastic controlcontrolled random walks

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Optimal stochastic control (93E20)

Abstract: We consider controlled random walks that are martingales with uniformly bounded increments and nontrivial jump probabilities and show that such walks can be constructed so that P(S_n^u=0) decays at polynomial rate n^{-alpha} where alpha>0 can be arbitrarily small. We also show, by means of a general delocalization lemma for martingales, which is of independent interest, that slower than polynomial decay is not possible.

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