Harmonic functions of random walks in a semigroup via ladder heights

DOI10.1007/S10959-019-00974-1MaRDI QIDQ2224947zbMATH OpenOpenAlexWikidataFDO

Publication date 4 February 2021

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

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

random walk harmonic function exit time renewal function

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

Abstract: We investigate harmonic functions and the convergence of the sequence of ratios

(P_{x} (a u_{v} a r t h e t a > n) / P_{e} (a u_{v} a r t h e t a > n))

for a random walk on a countable group killed up on the time

a u_{v} a r t h e t a

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.

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