On the exit time from an orthant for badly oriented random walks

DOI10.1214/16-BJPS334zbMATH Open1402.60047arXiv1403.5540MaRDI QIDQ1994029FDOQ1994029

Authors: Rodolphe Garbit 

Publication date: 6 November 2018

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Abstract: In a recent paper, K. Raschel and R. Garbit proved that the exponential decreasing rate of the probability that a random walk (with all exponential moments) stays in a $d$-dimensional orthant is given by the minimum on this orthant of the Laplace transform of the random walk increments, as soon as this minimum exists. In other cases, the random walk is "badly oriented," and the exponential rate may depend on the starting point $x$. We prove here that this rate is nevertheless asymptotically equal to the infimum of the Laplace transform, as some selected coordinates of $x$ tend to infinity.

Full work available at URL: https://arxiv.org/abs/1403.5540

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zbMATH Keywords

Laplace transformrandom walkconesexit time

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Random walks on graphs (05C81) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Title not available (Why is that?)
• Random walks in cones
• Random walks in cones: the case of nonzero drift
• Title not available (Why is that?)
• On the exit time from a cone for random walks with drift

Cited In (4)

• Ranking-based rich-get-richer processes
• On the exit time from a cone for random walks with drift
• Hitting times for random walks with restarts
• Exit problem for Ornstein-Uhlenbeck processes: a random walk approach

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