Non-homogeneous random walks on a half strip with generalized Lamperti drifts

MaRDI QIDQ4977559zbMATH OpenFDO

Authors Chak Hei Lo, Andrew R. Wade

Publication date 16 August 2017

Full work available at URL https://arxiv.org/abs/1512.04242

zbMATH Keywords

Lamperti's problemLyapunov functionMarkov chainnon-homogeneous random walkrecurrence classification

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: We study a Markov chain on $mathbb{R}_{+}imesS$, where $mathbb{R}_{+}$ is the non-negative real numbers and $S$ is a finite set, in which when the $mathbb{R}_{+}$-coordinate is large, the $S$-coordinate of the process is approximately Markov with stationary distribution $p{i}_i$ on $S$. If $m{u}_i(x)$ is the mean drift of the $mathbb{R}_{+}$-coordinate of the process at $(x,i)inmathbb{R}_{+}imesS$, we study the case where $su{m}_{i}p{i}_{i}m{u}_i(x)o0$, which is the critical regime for the recurrence-transience phase transition. If $m{u}_i(x)o0$ for all $i$, it is natural to study the Lamperti case where $m{u}_i(x)=O(1/x)$; in that case the recurrence classification is known, but we prove new results on existence and non-existence of moments of return times. If $m{u}_i(x)o{d}_i$ for $d_{i}eq0$ for at least some $i$, then it is natural to study the generalized Lamperti case where $m{u}_i(x)=d_i+O(1/x)$. By exploiting a transformation which maps the generalized Lamperti case to the Lamperti case, we obtain a recurrence classification and existence of moments results for the former. The generalized Lamperti case is seen to be more subtle, as the recurrence classification depends on correlation terms between the two coordinates of the process.

Recommendations

• Non-homogeneous random walks on a semi-infinite strip
• Markov chains with heavy-tailed increments and asymptotically zero drift
• Rate of escape and central limit theorem for the supercritical Lamperti problem
• Ergodicity of a partially homogeneous random walk in a half-strip
• Random walks in a quarter plane with zero drifts: transience and recurrence

Cited in

(7)

• Rate of escape and central limit theorem for the supercritical Lamperti problem
• Ergodicity of a partially homogeneous random walk in a half-strip
• Non-homogeneous random walks with non-integrable increments and heavy-tailed random walks on strips
• Extreme value statistics of positive recurrent centrally biased random walks
• Strong transience for one-dimensional Markov chains with asymptotically zero drifts
• Stochastic billiards with Markovian reflections in generalized parabolic domains
• Non-homogeneous random walks on a semi-infinite strip

This page was built for publication: Non-homogeneous random walks on a half strip with generalized Lamperti drifts

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4977559)