Hitting distribution to a quadrant of two-dimensional random walk

DOI10.2996/KMJ/1138044155MaRDI QIDQ1577705zbMATH OpenOpenAlexFDO

Authors Yasunari Fukai

Publication date 2 July 2001

Published in Kodai Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2996/kmj/1138044155

zbMATH Keywords

Green's functionhitting distributiontwo-dimensional simple random walktwo-dimensional standard Brownian motion

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Probabilistic potential theory (60J45)

Review text

Let \((S(n))_{n\in\mathbb N_0}\) be a simple random walk on \(\mathbb Z^2\), starting from \(\xi\in\mathbb Z^2\) under \(P_\xi\). Denote by \(\tau_L=\inf\{n\in\mathbb N: S(n)\in L\}\) the hitting time of the third quadrant, \(L=(-\infty,0]^2\), and by \(H_L(\xi,\eta)=P_\xi(S(\tau_L)=\eta)\) the hitting distribution on the boundary of \(L\) when started at \(\xi\notin L\). The Brownian analogues are defined accordingly: For a standard Brownian motion \((W(t))_{t\geq 0}\) on \(\mathbb R^2\), let \(T_L\) be the hitting time of \(L\), and let \(h_L(\xi,\cdot)\) denote the density of the hitting distribution of \(L\), when the motion starts at \(\xi\in\mathbb R^2\setminus L\). The density \(h_L(\xi,\cdot)\) may be explicitly calculated in terms of certain Bessel functions. It is the aim of the paper to derive estimates for the hitting distribution of the simple random walk in terms of the one for the Brownian motion. More precisely, the main result states that, for some absolute constant \(C_0>0\), we have the estimate \[ |H_L(\xi,(-l,0))-h_L(\xi,(-l,0))|\leq C_0[|\xi+(l,0)|^{-3}+|\xi|^{-2/3} l^{-5/3}] \] for any \(\xi\in\mathbb Z^2\setminus L\) and any \(l\in\mathbb N\). Furthermore, it is shown that the powers \(2/3\) and \(5/3\) cannot be improved. Moreover, the existence and positivity of the limits \(\lim_{l\to\infty}l^{5/3}H_L(k,(-l,0))\) and \(\lim_{k\to\infty}k^{2/3}H_L(k,(-l,0))\) for any fixed \(k\in\mathbb N\) resp.\ \(l\in\mathbb N\) are shown. The main tools are estimates for the Green's function of the walk, the reflection principle and an extensive analysis.

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Cited in

(6)

• The hitting distributions of a line for two dimensional random walks
• A Discrete Analogue of a Theorem of Makarov
• The hitting distribution of a line segment for two-dimensional random walks
• scientific article; zbMATH DE number 4188915 (Why is no real title available?)
• Hitting probabilities of random walks on \({\mathbb{Z}}^ d\)
• The hitting distributions of a half real line for two-dimensional random walks

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