Does a symmetric random walk in- one dimension- converge almost surely? Can we prove or disprove it by martingales?
Does a symmetric random walk converge almost surely?
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martingales
1 Answers
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No, it diverges almost surely, in the sense that for all $n\in\mathbb N$ and all $M\in\mathbb N$ there is almost surely an $n_+\gt n$ such that $X_{n_+}\gt M$ and an $n_-\gt n$ such that $x_{n_-}\lt-M$.
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0@Robert: I think the idea was that the sum of the step sizes doesn't converge, so the sum of the signed steps isn't absolutely convergent but might be conditionally convergent with probability $1$, as in the case of the random harmonic series. – 2012-11-29