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

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

2010-06-23

arxiv.org/abs/1006.4465v1

Mathematics

Probability

13 pages. To appear in Bingham, N. H., and Goldie, C. M. (eds), Probability and Mathematical Genetics: Papers in Honour of Sir

Scientific paper

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.

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