On the exit time from a cone for random walks with drift (Q726767): Difference between revisions

For an ordinary random walk \((S_n)_{n\in\mathbb{N}_0}\) in \(\mathbb{R}^d\) and a cone \(K\) in \(\mathbb{R}^d\), put \[ \tau_K:=\inf\{n\in\mathbb{N}: S_n\notin K\}. \] The authors introduce two assumptions: (H1) the support of the distribution of \(S_1\) is not contained in any linear hyperplane; (H2) there exists \(x^\ast\in K^\ast:=\{z\in\mathbb{R}^d: (x,z)\geq 0\quad \text{for all} \;x\in K\}\) such that the Laplace transform of \(S_1\) is finite in some open neighborhood \(V\) of \(x^\ast\) and attains its minimum on \(K^\ast\cap V\) at \(x^\ast\). They prove that, under (H1) and (H2), \[ \lim_{n\to\infty}(\mathbb{P}^x\{\tau_K>n\})^{1/n}=\int_{\mathbb{R}^d}e^{(x^\ast,y)}\mathbb{P}\{S_1\in \text{d}y\} \] for any \(x\in K+\delta v\), where \(\delta\in\mathbb{R}\) and \(v\) is some fixed vector in the interior of \(K\). It is also shown that the right-hand side equals one, which means that the decay of \(\mathbb{P}^x\{\tau_K>n\}\) is subexponential if and only if \(x^\ast=0\). The right-hand side of the centered formula does not depend on \(x\). An explicit example is constructed that demonstrates that the right-hand side may depend on the starting point if the condition (H2) does not hold. An application of the main result to lattice path enumeration is given. Also, the authors provide an interesting survey of earlier works on the subject.