Penalisation of the symmetric random walk by several functions of the supremum

zbMath1285.60074arXiv1012.2956MaRDI QIDQ2869218

Pierre Debs

Publication date: 3 January 2014

Full work available at URL: https://arxiv.org/abs/1012.2956

zbMATH Keywords

penalizationsimple random walkchange of measurerandom walk functional

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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