Some Martingale Properties of Simple Random Walk and Its Maximum Process
Abstract
In this paper, martingales related to simple random walks and their maximum process are investigated. First, a sufficient condition under which a function with three arguments, time, the random walk, and its maximum process becomes a martingale is presented, and as an application, an alternative way of deriving the Kennedy martingale is provided. Then, a complete characterization of a function with two arguments, the random walk and its maximum, being a martingale is presented. This martingale can be regarded as a discrete version of the Az\'ema--Yor martingale. As applications of discrete Az\'ema--Yor martingale, a proof of the Doob's inequalities is provided and a discrete Az\'ema--Yor solution for the Skorokhod embedding problem for the simple random walk is formulated and examined in detail.
Cite
@article{arxiv.2211.05745,
title = {Some Martingale Properties of Simple Random Walk and Its Maximum Process},
author = {Takahiko Fujita and Shotaro Yagishita and Naohiro Yoshida},
journal= {arXiv preprint arXiv:2211.05745},
year = {2022}
}