**Background**

Suppose we are given a standard Brownian motion , and a stopping time T. Then, so long as T satisfies one of the regularity conditions under which the Optional Stopping Theorem applies, we know that . (See here for a less formal introduction to OST.) Furthermore, since is a martingale, , so if the latter is finite, so is the former.

Now, using the strong Markov property of Brownian motion, we can come up with a sequence of stopping times such that the increments are IID with the same distribution as T. Then is a centered random walk. By taking T to be the hitting time of , it is easy to see that we can embed simple random walk in a Brownian motion using this approach.

*Embedding simple random walk in Brownian motion.*

The Skorohod embedding question asks: can all centered random walks be constructed in this fashion, by stopping Brownian motion at a sequence of stopping time? With the strong Markov property, it immediately reduces the question of whether all centered finite-variance distributions X can be expressed as for some integrable stopping time T.

The answer to this question is yes, and much of what follows is drawn from, or at least prompted by Obloj’s survey paper which details the problem and rich history of the many approaches to its solution over the past seventy years.

**Applications and related things**

The relationship between random walks and Brownian motion is a rich one. Donsker’s invariance principle asserts that Brownian motion appears as the scaling limit of a random walk. Indeed, one can construct Brownian motion itself as the limit of a sequence of consistent random walks with normal increments on an increasingly dense set of times. Furthermore, random walks are martingales, and we know that *continuous*, local martingales can be expressed as a (stochastically) time-changed Brownian motion, from the Dubins-Schwarz theorem.

The Skorohod embedding theorem can be used to prove results about random walks with general distribution by proving the corresponding result for Brownian motion, and checking that the construction of the sequence of stopping times has the right properties to allow the result to be carried back to the original setting. It obviously also gives a coupling between a individual random walk and a Brownian motion which may be useful in some contexts, as well as a coupling between *any pair* of random walks. This is useful in proving results for random walks which are much easier for special cases of the distribution. For example, when the increments are Gaussian, or when there are combinatorial approaches to a problem about simple random walk. At the moment no aspect of this blog schedule is guaranteed, but I plan to talk about the law of the iterated logarithm shortly, whose proof is approachable in both of these settings, as well as for Brownian motion, and Skorohod embedding provides the route to the general proof.

At the end, we will briefly compare some other ways to couple a random walk and a Brownian motion.

**Adding extra randomness**

One thing we could do is sample a copy of X independently from the Brownian motion, then declare , the hitting time of (random value) X. But recall that unfortunately has infinite expectation for all non-zero x, so this doesn’t fit the conditions required to use OST.

Skorohod’s original method is described in Section 3.1 of Obloj’s notes linked above. The method is roughly to pair up positive values taken by X appropriately with negative values taken by X in a clever way. If we have a positive value b and a negative value a, then , the first hitting time of is integrable. Then we choose one of these positive-negative pairs according to the projection of the distribution of X onto the pairings, and let T be the hitting time of this pair of values. The probability of hitting b conditional on hitting {a,b} is easy to compute (it’s ) so we need to have chosen our pairs so that the ‘probability’ of hitting b (ie the density) comes out right. In particular, this method has to start from continuous distributions X, and treat atoms in the distribution of X separately.

The case where the distribution X is symmetric (that is ) is particularly clear, as then the pairs should be .

However, it feels like there is enough randomness in Brownian motion already, and subsequent authors showed that indeed it wasn’t necessary to introduce extra randomness to provide a solution.

One might ask whether it’s possible to generate the distribution on the set of pairs (as above) out of the Brownian motion itself, but independently from all the hitting times. It feels like it might be possible to make the distribution on the pairs measurable with respect to

the sigma-algebra of events determined by limiting behaviour as (which is independent of hitting times). But of course, unfortunately has a zero-one law, so it’s not possible to embed non-trivial distributions there.

**Dubins solution**

The exemplar for solutions without extra randomness is due to Dubins, shortly after Skorohod’s original argument. The idea is to express the distribution X as the almost sure limit of a martingale. We first use the hitting time of a pair of points to ‘decide’ whether we will end up positive or negative, and then given this information look at the hitting time (after this first time) of two subsequent points to ‘decide’ which of four regions of the real interval we end up in.

I’m going to use different notation to Obloj, corresponding more closely with how I ended up thinking about this method. We let

(*)

and take . We need to check that

for this to have a chance of working. But we know that

and we can also attack the other side using (*) and the fact that , using the law of total expectation:

Now we define

and similarly . So then, conditional on , we take

and similarly conditional on . By an identical argument to the one we have just deployed, we have almost surely. So, although the notation now starts to get very unwieldy, it’s clear we can keep going in this way to get a sequence of stopping times where determines which of the regions of the real line any limit should lie in.

A bit of work is required to check that the almost sure limit is almost surely finite, but once we have this, it is clear that almost surely, and has the distribution required.

**Komlos, Major, Tusnady coupling**

We want to know how close we can make this coupling between a centered random walk with variance 1, and a standard Brownian motion. Here, ‘close’ means uniformly close in probability. For large times, the typical difference between one of the stopping times in the Skorohod embedding and its expectation (recall ) is . So, constructing the random walk from the Brownian motion via Skorohod embedding leads to

for most values of . Strassen (1966) shows that the true scale of the maximum

is slightly larger than this, with some extra powers of and as one would expect.

The *Komlos-Major-Tusnady coupling* is a way to do a lot better than this, in the setting where the distribution of the increments has a finite MGF near 0. Then, there exists a coupling of the random walk and the Brownian motion such that

That is, there exists C such that

is a tight family of distributions, indeed with uniform exponential tail. To avoid digressing infinitely far from my original plan to discuss the proof of the law of iterated logarithm for general distributions, I’ll stop here. I found it hard to find much coverage of the KMT result apart from the challenging original paper, and many versions expressed in the language of empirical processes, which are similar to random walks in many ways relevant to convergence and this coupling, but not for Skorohod embedding. So, here is a link to some slides from a talk by Chatterjee which I found helpful in getting a sense of the history, and some of the modern approaches to this type of normal approximation problem.

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