Random walks reaching against all odds the other side of the quarter plane

DOI10.1239/JAP/1363784426MaRDI QIDQ4918564zbMATH OpenOpenAlexFDO

Authors Johan S. H. van Leeuwaarden, Kilian Raschel

Publication date 25 April 2013

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

Full work available at URL https://arxiv.org/abs/1104.3034, https://projecteuclid.org/euclid.jap/1363784426

zbMATH Keywords

conformal glueinghitting probabilityintegral representationquarter planerandom walk

Mathematics Subject Classification ID

Integration, integrals of Cauchy type, integral representations of analytic functions in the complex plane (30E20) Sums of independent random variables; random walks (60G50)

Abstract: For a homogeneous random walk in the quarter plane with nearest-neighbor transitions, starting from some state $(i_0,j_0)$, we study the event that the walk reaches the vertical axis, before reaching the horizontal axis. We derive an exact expression for the probability of this event, and derive an asymptotic expression for the case when $i_0$ becomes large, a situation in which the event becomes highly unlikely. The exact expression follows from the solution of a boundary value problem and is in terms of an integral that involves a conformal gluing function. The asymptotic expression follows from the asymptotic evaluation of this integral. Our results find applications in a model for nucleosome shifting, the voter model and the asymmetric exclusion process.

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Cites work

• A mixture of the exclusion process and the voter model
• Counting walks in a quadrant: a unified approach via boundary value problems
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• Passage-time moments for nonnegative stochastic processes and an application to reflected random walks in a quadrant
• Random walks in ( Z_+)^2 with non-zero drift absorbed at the axes
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Cited in

(14)

• Random walks in a quarter plane with zero drifts. I: Ergodicity and null recurrence
• Random walks in the positive quadrant. II. Integral theorem
• Taming reluctant random walks in the positive quadrant
• Passage time from four to two blocks of opinions in the voter model and walks in the quarter plane
• Asymmetric random walk in a reaction intermediate of homologous recombination
• A level-1 limit order book with time dependent arrival rates
• Analysis of exact tail asymptotics for singular random walks in the quarter plane
• A correction note for price dynamics in a Markovian limit order market
• Random walks in ( Z_+)^2 with non-zero drift absorbed at the axes
• A two-sided boundary problem for two-dimensional random walks
• Asymptotics for the time of ruin in the war of attrition
• Random walks with internal degrees of freedom
• Harmonic functions for singular quadrant walks
• Rare event asymptotics for a random walk in the quarter plane

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