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Exponential maximal bound for a symmetric random walk (P(maxk≤n​Sk​≥tn​)≤e−t2/2)

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Probability theory Simple symmetric random walk
2026-10-06  0 By others on same topic  0 Discussions Create my own version
For a simple symmetric random walk, the estimate EeθSn​≤enθ2/2 and the exponential maximal inequality give P(maxk≤n​Sk​≥tn​)≤e−t2/2 for t≥0.

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  • Past exam of the mathematics course of the University of Cambridge / 2016 / iii / Paper 124 / 2 / c / Solution

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