Hitting times with taboo for a random walk (Q1933022)

For \(x,y,z\in\mathbb{Z}^d\) such that \(y\neq z\), let \(H_{x,y,z}(t)\), \(t\geq 0\) denote the improper distribution function of the first hitting time of \(y\) without entering \(z\) by that time by a symmetric homogeneous and irreducible random walk on \(\mathbb{Z}^d\) which starts at \(x\) and has finite variance of jumps. The present paper gives the value \(H_{x,y,z}(\infty):=\lim_{t\to\infty}H_{x,y,z}(t)\) and investigates the asymptotics of \(H_{x,y,z}(\infty)-H_{x,y,z}(t)\), as \(t\to\infty\). In particular, it is shown that, for a simple random walk on \(\mathbb{Z}\), the decay rate of \(H_{x,y,z}(\infty)-H_{x,y,z}(t)\) depends upon the location of the points \(x,y\) and \(z\), whereas, for the other considered random walks, the decay rate is specified by the dimension \(d\) alone. The main results are proved using Laplace transforms and invoking a Tauberian theorem.