Two explicit Skorokhod embeddings for simple symmetric random walk
نویسندگان
چکیده
منابع مشابه
Symmetric Random Walk?)
Let Xk, k= 1, 2, 3, • • -, be a sequence of mutually independent random variables on an appropriate probability space which have a given common distribution function F. Let Sn = Xi+ • • • +Xn, then the event lim inf | S„\ = 0 has probability either zero or one. If this event has zero chance, we say F is transient; in the other case, | 5„| tends to infinity almost surely, and F is called recurre...
متن کاملCut times for Simple Random Walk Cut times for Simple Random Walk
Let S(n) be a simple random walk taking values in Z d. A time n is called a cut time if S0; n] \ Sn + 1; 1) = ;: We show that in three dimensions the number of cut times less than n grows like n 1? where = d is the intersection exponent. As part of the proof we show that in two or three dimensions PfS0; n] \ Sn + 1; 2n] = ;g n ? ; where denotes that each side is bounded by a constant times the ...
متن کاملConstructing self-similar martingales via two Skorokhod embeddings
With the help of two Skorokhod embeddings, we construct martingales which enjoy the Brownian scaling property and the (inhomogeneous) Markov property. The second method necessitates randomization, but allows to reach any law with finite moment of order 1, centered, as the distribution of such a martingale at unit time. The first method does not necessitate randomization, but an additional restr...
متن کاملMultifractal Nature of Two Dimensional Simple Random Walk Paths
The multifractal spectrum of discrete harmonic measure of a two dimensional simple random walk path is considered. It is shown that the spectrum is the same as for Brownian motion, is nontrivial, and can be given in terms of a quantity known as the intersection exponent.
متن کاملThe Intersection Exponent For Simple Random Walk
The intersection exponent for simple random walk in two and three dimensions gives a measure of the rate of decay of the probability that paths do not intersect. In this paper we show that the intersection exponent for random walks is the same as that for Brownian motion and show in fact that the probability of nonintersection up to distance n is comparable (equal up to multiplicative constants...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2019
ISSN: 0304-4149
DOI: 10.1016/j.spa.2018.09.013