Positive random-environment path-weight martingale

ID: positive-random-environment-path-weight-martingale

Let be a random walk, independent of centered, independent time-space signs , and let . Averaging over the walk gives a positive martingale in the environment filtration: each new time layer has conditional mean-one weight. Hence and the martingale convergence theorem gives a finite nonnegative almost-sure limit. Preserving its mean requires an additional condition such as bounded second moments; positivity of finite-time weights alone does not suffice.

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