Martingale methods for random walks in a one-dimensional random environment

被引:4
|
作者
Butov, AA [1 ]
机构
[1] MOSCOW MV LOMONOSOV STATE UNIV, FAC MECH & MATH, ULYANOVSK BRANCH, ULYANOVSK, RUSSIA
关键词
random walk; random environment; natural scale; semimartingale; compensator;
D O I
10.1137/1139043
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
One-dimensional random walk processes in a random environment of a general functional type are considered. The study is carried out by the natural scale method. We obtain conditions of existence of the natural scale, conditions of existence of the processes and a theorem on the representation of the local time as the compensator of the modulus of the martingale which is the random walk in the natural scale. The work is performed in martingale terms and contains a number of examples.
引用
收藏
页码:558 / 572
页数:15
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