Interview Question: Random Walking Tree

Sample Question #279 (stochastic calculus)
 
Given a random walk X(t), what kinds of functions of X(t) are also random walks?
 
[Source: another real-life interview question]
 
 
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One Response to Interview Question: Random Walking Tree

  1. Unknown says:

    If by random walk, you mean a brownian motion, then any harmonic function remains a local martingale and thus could be called a type of random walk. The Hermitian polynomials are also examples that are pretty common. You need to clarify what you mean by a random walk though…

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