ON EXCURSIONS ASSOCIATED WITH A CERTAIN LOCAL TIME OF SIMPLE SYMMETRIC RANDOM WALKS, WITH APPLICATIONS

Authors

Takahiko Fujita, Chuo UniversityFollow
Naohiro Yoshida, Department of Economics, Keiai University, 1-5-21 Anagawa, Inage, Chiba-shi, Chiba 263-8588, JapanFollow

Abstract

In this note, some applications of excursions associated with a certain local time of simple symmetric random walks are presented. Specifically, the excursions are applied to calculate some probability distributions of interest regarding the random walks. Furthermore, a solution of the Skorokhod embedding problem for random walks is obtained through the excursions.

Recommended Citation

Fujita, Takahiko and Yoshida, Naohiro (2025) "ON EXCURSIONS ASSOCIATED WITH A CERTAIN LOCAL TIME OF SIMPLE SYMMETRIC RANDOM WALKS, WITH APPLICATIONS," Journal of Stochastic Analysis: Vol. 6: No. 2, Article 2.
DOI: 10.31390/josa.6.2.02
Available at: https://repository.lsu.edu/josa/vol6/iss2/2

DOI

10.31390/josa.6.2.02