平稳增量随机游走中的伴随随机游走与鞅
概率论
2010-06-24 v1
摘要
我们将随机游走中伴随随机游走和Wald鞅的概念从增量独立同分布的情形推广到更一般的平稳遍历增量情形。给出了增量是马尔可夫型或高斯型的例子，并考虑了在排队论中的一个应用。
引用
@article{arxiv.1006.4465,
title = {The associated random walk and martingales in random walks with stationary increments},
author = {D. R. Grey},
journal= {arXiv preprint arXiv:1006.4465},
year = {2010}
}
备注
13 pages. To appear in Bingham, N. H., and Goldie, C. M. (eds), Probability and Mathematical Genetics: Papers in Honour of Sir John Kingman. London Math. Soc. Lecture Note Series vol. 378. Cambridge: Cambridge Univ. Press