Green function for an asymptotically stable random walk in a half space

DOI10.1007/S10959-023-01283-4MaRDI QIDQ6411933zbMATH OpenFDO

Authors Denis E. Denisov, Vitali Wachtel

Publication date 26 September 2022

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10959-023-01283-4

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stopping times; optimal stopping problems; gambling theory (60G40) Sums of independent random variables; random walks (60G50) Probabilistic potential theory (60J45)

Abstract: We consider an asymptotically stable multidimensional random walk $S(n)=(S_1(n),ldots,S_d(n))$. Let $a{u}_x:=minn>0:x_1+S_1(n)le0$ be the first time the random walk $S(n)$ leaves the upper half-space. We obtain the asymptotics of $p_n(x,y):=P(x+S(n)iny+Delta,a{u}_x>n)$ as $n$ tends to infinity, where $Delta$ is a fixed cube. From that we obtain the local asymptotics for the Green function $G(x,y):=su{m}_n{p}_n(x,y)$, as $|y|$ and/or $|x|$ tend to infinity.

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