HITTING TIME OF A HALF-LINE BY A TWO-DIMENSIONAL NON-SYMMETRIC RANDOM WALK

DOI10.2206/KYUSHUJM.69.145MaRDI QIDQ5260909zbMATH OpenOpenAlexFDO

Authors Yasunari Fukai

Publication date 30 June 2015

Published in Kyushu Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1212.2714

zbMATH Keywords

hitting probabilitytwo-dimensional random walkfluctuation identities

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Sums of independent random variables; random walks (60G50)

Abstract: We consider the probability that a two-dimensional random walk starting from the origin never returns to the half-line $(-infty,0]imes0$ before time $n$. Let $X^{(1)}=(X_1,X_2)$ be the increment of the two-dimensional random walk. For an aperiodic random walk with moment conditions ($E[X_2]=0$ and $E[|X_1{|}^{delta}]<infty,E[|X_2{|}^{2+delta}]<infty$ for some $deltain(0,1)$), we obtain an asymptotic estimate (as $nightarrowinfty$) of this probability by assuming the behavior of the characteristic function of $X_1$ near zero.

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