BigMike
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 Jul2 awarded Curious Jun6 asked Law of large numbers for a Subordinator. Jun6 accepted A question about Infinitesimal generator of Feller Process Jun6 comment A question about Infinitesimal generator of Feller Process Thanks for the post! I tried a similar method and it works! Jun4 asked A question about Infinitesimal generator of Feller Process May26 awarded Supporter May26 accepted An application of Donsker's theorem. May26 comment A theorem about the Poisson Point process. Thanks! I tried a slightly different approach using the Laplace functional of the Poisson point process. But everything works with the Laplace functional. May26 accepted A theorem about the Poisson Point process. May24 asked A theorem about the Poisson Point process. May15 asked An application of Donsker's theorem. Mar13 accepted Stopping time for a martingale Mar13 comment Stopping time for a martingale Thanks for the answer, but I found a easier way using the wald's equation and let $Y_n=S_n-1$. I got the exactly the answer as your. Mar13 comment Stopping time for a martingale Yeah, I guess I mean $X_i$ takes value from the set... Mar12 comment Stopping time for a martingale Here $X_i$ is in the set $\{-1,0,1,2,...\}$, so it can not equal to -2. I think I proved the case where $\mu=0$ by making a new martingale $Y_n=S_n-n\mu-1$, but still confused about the case when $\mu<0$ Mar12 comment Stopping time for a martingale Sorry I forgot to add $X_i\in\{-1,0,1,2,...\} P(X_i=0)<1$ in the problem. Mar12 revised Stopping time for a martingale added 45 characters in body Mar12 accepted A problem about almost sure convergence. Mar12 asked Stopping time for a martingale Mar5 comment A question about exponential martingale. Thanks, I just noticed I can directly apply the Dood's inequality.