Level crossing probabilities. II: Polygonal recurrence of multidimensional random walks

DOI10.1016/J.AIM.2006.03.009MaRDI QIDQ861050zbMATH OpenOpenAlexFDO

Authors Rainer Siegmund-Schultze, Heinrich von Weizsäcker

Publication date 9 January 2007

Published in Advances in Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0406423

zbMATH Keywords

multivariate random walk

Mathematics Subject Classification ID

Sample path properties (60G17) Sums of independent random variables; random walks (60G50)

Abstract: In part I (math.PR/0406392) we proved for an arbitrary one-dimensional random walk with independent increments that the probability of crossing a level at a given time n is of the maximal order square root of n. In higher dimensions we call a random walk 'polygonally recurrent' (resp. transient) if a.s. infinitely many (resp. finitely many) of the straight lines between two consecutive sites hit a given bounded set. The above estimate implies that three-dimensional random walks with independent components are polygonally transient. Similarly a directionally reinforced random walk on Z^3 in the sense of Mauldin, Monticino and v.Weizsaecker [1] is transient. On the other hand we construct an example of a transient but polygonally recurrent random walk with independent components on Z^2.

Review text

[For part I see ibid., 672--679 (2007; Zbl 1108.60037).] Let \(\{ S_n\}\) be a random walk in \(Z^d\) or \(R^d\). We call it polygonally recurrent (resp. transient) if there is a bounded set \(B\) (resp. there is no bounded set) such that a.s. there are infinitely many \(n\) with straight line between \(S_n\), \(S_{n+1}\) hitting \(B\). The authors show that a three-dimensional random walk whose three components are independent is polygonally transient. Also for any dimension \(d\geq 3\) the \(d\)-dimensional directionally reinforced random walks are always polygonally transient. An example is constructed for a transient but polygonally recurrent random walk with independent components on \(Z^2\).

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Cites work

• An Estimate of the Concentration Functionby the Esseen Method
• Directionally reinforced random walks
• scientific article; zbMATH DE number 3194856 (Why is no real title available?)
• Level crossing probabilities. I: One-dimensional random walks and symmetrization
• On the asymptotic distribution of sums of independent identically distributed random variables
• On the Kolmogorov-Rogozin inequality for the concentration function

Cited in

(11)

• Escape probabilities for slowly recurrent sets
• Persistent random walks. I. Recurrence versus transience
• Conservative and semiconservative random walks: recurrence and transience
• On random walks and levels of the form n^
• Recurrence of multidimensional persistent random walks. Fourier and series criteria
• Level crossings of a two-parameter random walk
• Random walks with different directions
• Determining the mode for convolution powers of discrete uniform distribution
• On a directionally reinforced random walk
• Level crossing probabilities. I: One-dimensional random walks and symmetrization
• Maximal probabilities of convolution powers of discrete uniform distributions

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