OCCUPATION TIMES SEQUENCES AND MARTINGALES OF SIMPLE RANDOM WALKS ON THE REAL LINE

OCCUPATION TIMES SEQUENCES AND MARTINGALES OF SIMPLE RANDOM WALKS ON THE REAL LINE

Given a simple random walk on the real line , we consider the sequences of occupation times on states and associate to them martingales defined by the moments of first order of this random walk. We deduce by this way recurrent relations for the expectations of the occupation times in states before a...

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Autor principal: LOBO,JAIME
Lenguaje:English
Publicado: Universidad Católica del Norte, Departamento de Matemáticas 2005
Materias:
occupation times
simple random walks
predictible compensators
first passage times
; optional sampling theorem
first order absolute moments
Acceso en línea:http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0716-09172005000300002
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