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Reflection principle for simple symmetric random walk
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Area of mathematics
Probability and statistics
Probability theory
Martingale
Predictable process
Martingale transform
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Words: 74
Articles: 1
Let
S
0
=
0
be a
simple symmetric random walk
, let
T
a
be its first hitting time of the positive integer
a
, and reverse every increment after
T
a
. The resulting path is again a simple symmetric random walk. Consequently,
P
(
max
k
≤
n
S
k
≥
a
)
=
P
(
S
n
≥
a
)
+
P
(
S
n
≥
a
+
1
)
.
(24)
Table of contents
74
1
Point probability for the maximum of simple symmetric random walk
Reflection principle for simple symmetric random walk
29
Ancestors
(8)
Martingale transform
Predictable process
Martingale
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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