Harmonic functions of random walks in a semigroup via ladder heights

DOI10.1007/S10959-019-00974-1zbMATH Open1466.60157arXiv1803.05682OpenAlexW2997490478WikidataQ126394761 ScholiaQ126394761MaRDI QIDQ2224947FDOQ2224947

Authors: Irina Ignatiouk-Robert 

Publication date: 4 February 2021

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We investigate harmonic functions and the convergence of the sequence of ratios $(P_x(a{u}_{v}artheta>n)/P_e(a{u}_{v}artheta>n))$ for a random walk on a countable group killed up on the time $a{u}_{v}artheta$ of the first exit from some semi-group with an identity element $e$. Several results of classical renewal theory for one dimensional random walk killed at the first exit from the positive half-line are extended to a multi-dimensional setting. For this purpose, an analogue of the ladder height process and the corresponding renewal function $V$ are introduced. The results are applied to multidimensional random walks killed upon the times of first exit from a convex cone. Our approach combines large deviation estimates and an extension of Choquet-Deny theory.

Full work available at URL: https://arxiv.org/abs/1803.05682

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zbMATH Keywords

random walkharmonic functionexit timerenewal function

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Harmonic, subharmonic, superharmonic functions on other spaces (31C05) Probabilistic potential theory (60J45)

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Cited In (7)

• Discrete harmonic functions in Lipschitz domains
• Martin boundary of killed random walks on isoradial graphs
• On harmonic functions of killed random walks in convex cones
• Harmonic analysis of finite lamplighter random walks
• Enumeration of three-quadrant walks via invariants: some diagonally symmetric models
• Martin boundary of random walks in convex cones
• Constructing discrete harmonic functions in wedges

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