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Point probability for the maximum of simple symmetric random walk
...
Probability and statistics
Probability theory
Martingale
Predictable process
Martingale transform
Reflection principle for simple symmetric random walk
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Words: 29
For
M
n
=
max
0
≤
k
≤
n
S
k
and a positive integer
a
,
P
(
M
n
=
a
)
=
P
(
S
n
=
a
)
+
P
(
S
n
=
a
+
1
)
.
(25)
Exactly one term can be nonzero because
S
n
has the parity of
n
.
Ancestors
(9)
Reflection principle for simple symmetric random walk
Martingale transform
Predictable process
Martingale
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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