One dimensional random walks killed on a finite set

Publication date 7 September 2017

Abstract: We study the transition probability, say

p_{A}^{n} (x, y)

, of a one-dimensional random walk on the integer lattice killed when entering into a non-empty finite set

A

. The random walk is assumed to be irreducible and have zero mean and a finite variance

s i g m a^{2}

. We derive the asymptotic form of

p_{A}^{n} (x, y)

for large

n

valid uniformly in the regime characterized by the conditions

| x | v e e | y | = O (s q r t n)

and

| x | w e d g e | y | = o (s q r t n)

, in which

behaves for large

n

like

[g_{A}^{+} (x) h a t g_{A}^{, +} (y) + g_{A}^{-} (x) h a t g_{A}^{, -} (y)] (s i g m a^{2} / 2 n) p^{n} (y - x)

. Here

p^{n} (y - x)

is the transition kernel of the random walk (without killing);

g^{p} m_{A}

are the Green functions for the "exterior" of

A

with "pole at

p m i n f t y

" normalized so that

g^{p} m_{A} (x) s i m 2 | x | / s i g m a^{2}

as

x o p m i n f t y

; and

h a t g_{A}^{, p m}

are the corresponding Green functions for the time-reversed walk.

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