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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spelling oai:scielo:S0716-091720050003000022006-03-10OCCUPATION TIMES SEQUENCES AND MARTINGALES OF SIMPLE RANDOM WALKS ON THE REAL LINELOBO,JAIME occupation times simple random walks predictible compensators first passage times ; optional sampling theorem first order absolute moments 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 given time , and then remarkable identities for the expectations of the absolute values of the random walkinfo:eu-repo/semantics/openAccessUniversidad Católica del Norte, Departamento de MatemáticasProyecciones (Antofagasta) v.24 n.3 20052005-12-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0716-09172005000300002en10.4067/S0716-09172005000300002
institution Scielo Chile
collection Scielo Chile
language English
topic occupation times
simple random walks
predictible compensators
first passage times
; optional sampling theorem
first order absolute moments
spellingShingle occupation times
simple random walks
predictible compensators
first passage times
; optional sampling theorem
first order absolute moments
LOBO,JAIME
OCCUPATION TIMES SEQUENCES AND MARTINGALES OF SIMPLE RANDOM WALKS ON THE REAL LINE
description 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 given time , and then remarkable identities for the expectations of the absolute values of the random walk
author LOBO,JAIME
author_facet LOBO,JAIME
author_sort LOBO,JAIME
title OCCUPATION TIMES SEQUENCES AND MARTINGALES OF SIMPLE RANDOM WALKS ON THE REAL LINE
title_short OCCUPATION TIMES SEQUENCES AND MARTINGALES OF SIMPLE RANDOM WALKS ON THE REAL LINE
title_full OCCUPATION TIMES SEQUENCES AND MARTINGALES OF SIMPLE RANDOM WALKS ON THE REAL LINE
title_fullStr OCCUPATION TIMES SEQUENCES AND MARTINGALES OF SIMPLE RANDOM WALKS ON THE REAL LINE
title_full_unstemmed OCCUPATION TIMES SEQUENCES AND MARTINGALES OF SIMPLE RANDOM WALKS ON THE REAL LINE
title_sort occupation times sequences and martingales of simple random walks on the real line
publisher Universidad Católica del Norte, Departamento de Matemáticas
publishDate 2005
url http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0716-09172005000300002
work_keys_str_mv AT lobojaime occupationtimessequencesandmartingalesofsimplerandomwalksontherealline
_version_ 1718439743135416320

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