On the exit time from a cone for random walks with drift
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Publication:726767
DOI10.4171/RMI/893zbMATH Open1346.60060arXiv1306.6761OpenAlexW3100283379MaRDI QIDQ726767FDOQ726767
Authors: Rodolphe Garbit, Kilian Raschel 
Publication date: 14 July 2016
Published in: Revista Matemática Iberoamericana (Search for Journal in Brave)
Abstract: We compute the exponential decay of the probability that a given multi-dimensional random walk stays in a convex cone up to time , as goes to infinity. We show that the latter equals the minimum, on the dual cone, of the Laplace transform of the random walk increments. As an example, our results find applications in the counting of walks in orthants, a classical domain in enumerative combinatorics.
Full work available at URL: https://arxiv.org/abs/1306.6761
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Cited In (22)
- Ranking-based rich-get-richer processes
- On the exit time from an orthant for badly oriented random walks
- Angular asymptotics for multi-dimensional non-homogeneous random walks with asymptotically zero drift
- Exit and occupation times for Brownian motion on graphs with general drift and diffusion constant
- Recurrence of two-dimensional queueing processes, and random walk exit times from the quadrant
- Random walks with drift inside a pyramid: convergence rate for the survival probability
- Exit probability of two-dimensional random walk from the quadrant
- Continued Classification of 3D Lattice Walks in the Positive Octant
- A combinatorial understanding of lattice path asymptotics
- Lévy subordinators in cones of fuzzy sets
- 3D positive lattice walks and spherical triangles
- The matrix sequential probability ratio test and multivariate ruin theory
- On the exit time from a cone for Brownian motion with drift
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- Exit times from cones in \(R^n\) of symmetric stable processes
- Random walks in cones
- Higher dimensional lattice walks: connecting combinatorial and analytic behavior
- Exit time of a centered random walk from a cone
- On the exit time of a random walk with positive drift
- Weighted lattice walks and universality classes
- Counting walks with large steps in an orthant
- Random walks in cones: the case of nonzero drift
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