Random walks maximizing the probability to visit an interval

Abstract

We consider random walks, say $W_n=(M_0,M_1,\dots ,M_n)$, of length $n$ starting at 0 and based on the martingale sequence $M_k$ with differences $X_m=M_m-M_{m-1}$. Assuming that the differences are bounded, $|X_m|\le 1$, we solve the problem \begin{equation} D_n(x)\=\sup P \left\{W_n \ \text{visits an interval}\ [x,\infty)\right\},\qquad x\in R, \label{piirma} \end{equation} where $\sup$ is taken over all possible $W_n$. In particular, we describe random walks which maximize the probability in $\eqref{piirma}$. We also extend the result to super-martingales.

14 pages