Localization For Controlled Random Walks And Martingales

We consider controlled random walks that are martingales with uniformly bounded increments and nontrivial jump probabilities and show that such walks can be constructed so that P(S u n = 0) decays at polynomial rate n −α where α > 0 can be arbitrarily small. We also show, by means of a general delocalization lemma for martingales, which is of independent interest, that slower than polynomial decay is not possible.