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arXiv:1006.4465 [math.PR]AbstractReferencesReviewsResources

The associated random walk and martingales in random walks with stationary increments

D. R. Grey

Published 2010-06-23Version 1

We extend the notion of the associated random walk and the Wald martingale in random walks where the increments are independent and identically distributed to the more general case of stationary ergodic increments. Examples are given where the increments are Markovian or Gaussian, and an application in queueing is considered.

Comments: 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
Categories: math.PR
Subjects: 60G50
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