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

DOI10.1016/J.SPL.2024.110076zbMATH Open1537.60053MaRDI QIDQ6540921

Author name not available (Why is that?), Naohiro Yoshida, Takahiko Fujita

Publication date: 17 May 2024

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

zbMATH Keywords

martingalesimple random walkdiscrete Azéma-Yor martingalediscrete Skorokhod embeddingKennedy martingale

Mathematics Subject Classification ID

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

Cites Work

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• One-dimensional Brownian motion and the three-dimensional Bessel process
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