随机过程教材（上海财经大学）第二节 New Martingale from old.ppt

Exercises Consider simple random walk beginning at 0 and show that for any k?0 the expected number of visits to level k before returning to 0 is exactly 1. solution 第二节 New Martingale from old 停时过程 Exercise 2.1 (Finding a martingale) Consider a gambling game with multiple payouts: the player loses $1 with probability α, wins $1 with probability β, and wins $2 with probability γ. Specifically, we assume that α=0.52, β=0.45, γ=0.03, so the expected value of each round of the game is only $-0.01. (a)Suppose the gambler bets one dollar on each round of the game and that {xk} is the amount won or lost on the k’th round. Find a real number x such that Mn=xSn is a martingale where Sn=x1+x2+…+xn tallies the gambler’s winnings. Note: you will need to find the numerical solutions to a cubic equation, but x=1 is one solution so the cubic can be reduced to a quadratic. (b)Let p denotes the probability of winning $100 or more before losing $100. Give numerical bounds p0 and p1 such that p0≤p≤p1 and p1-p0≤3*10-3. You should be sure to take proper account of the fact that the gambler’s fortune may skip over $100 if a win of $2 takes place when the gambler’s fortune is $99. This issue of “overshoot” is one that comes up in many problems where a process can skip over intervening states. 停时定理 第三节 再论一步分析法 随机游走 分布 财富 财富第一次达到A或-B的时间 结论 一致收敛定理 重新证明 由于Sn是一个鞅,根据停时定理,Sn^τ也是一个鞅 停时的均值 随机游走 分布 财富 财富第一次达到A或-B的时间 结论 重新证明 有偏随机游走 结论 重新证明 第四节 下鞅 凸函数的性质 Jensen 不等式 E[X/F] E[Φ(X/F)] Φ(E[X/F]) E[X/F] E[Φ(X/F)] Φ(E[X/F]) 例 Lp空间 Lp空间与Jensen 不等式 * *