Some Martingale Properties of Simple Random Walk and Its Maximum Process

In this paper, martingales related to simple random walks and their maximum process are investigated. First, a sufficient condition under which a function with three arguments, time, the random walk, and its maximum process becomes a martingale is presented, and as an application, an alternative way of deriving the Kennedy martingale is provided. Then, a complete characterization of a function with two arguments, the random walk and its maximum, being a martingale is presented. This martingale can be regarded as a discrete version of the Azéma–Yor martingale. As applications of discrete Azéma–Yor martingale, a proof of the Doob’s inequalities is provided and a discrete Azéma–Yor solution for the Skorokhod embedding problem for the simple random walk is formulated and examined in detail.