Random walks in cones (Q2352747): Difference between revisions

The authors study the asymptotic behavior of multidimensional random walks in cones under suitable conditions. Among these, the random walk innovations are assumed to be standardized and uncorrelated and the cone is supposed to be either convex or starlike and \(C^2\). In constructing a positive harmonic function for the random walk, the authors develop the asymptotics of the first exit time of the random walk from the cone under an optimal moment condition on the innovations and provide a weak limit theorem for the conditioned random walk staying inside the cone. If the random walk takes values in a lattice and the innovations are strongly aperiodic, the authors further prove local versions of the aforementioned asymptotic results. These can be seen as extensions of corresponding results for the Brownian motion to the discrete-time setting by means of a strong approximation of the random walk by Brownian motion. The authors show how their results can be applied to enumerate lattice paths and how they are related to corresponding statements known for random walks in Weyl chambers.