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Teoriya Veroyatnostei i ee Primeneniya, 1977, Volume 22, Issue 4, Pages 837–844 (Mi tvp3632)  

This article is cited in 9 scientific papers (total in 9 papers)

Short Communications

On the first exit time out of a semigroup in $R^m$ for a random walk

A. A. Mogul'skiĭ, E. A. Pečerskiĭ

Novosibirsk
Abstract: Let $(S_n)$ be a random walk generated by a sequence of random i. i. d. vectors $(\xi_n)$; $\xi_n\in R^m$. Let $H$ be a subset of $R^m$. In this paper, we study the random variable
$$ \eta=\eta_H=\min\{k\colon k\ge 1,S_k\notin H\}. $$
Main results are obtained in the case when $H$ is a semi-group. For $|z|<1$ and $\lambda=(\lambda_1,\dots,\lambda_m)\in R^m$, we prove the formula
$$ \sum_{n=0}^{\infty}z^n\mathbf M(e^{i(\lambda,S_n)};\eta_H>n)= \exp\biggl\{\sum_{n=1}^{\infty}\frac{z^n}{n}\mathbf M(e^{i(\lambda,S_n)};E_{0,n})\biggr\} $$
where $E_{0,n}$ is the event: $n$ is not a ladder index for any of $n$ cyclical rearrangements of $\xi_1,\dots,\xi_n$.
We find some sufficient conditions for the uniqueness of a solution of the equation
$$ (1-z\Phi(\lambda))\psi_1(z,\lambda)=\psi_2(z,\lambda) $$
where $\Phi(\lambda)=\mathbf M\exp\{i(\lambda,\xi_1)\}$.
Some estimates for the sequence $(\mathbf P(\eta_H>n))$ are also obtained.
Received: 22.03.1976
English version:
Theory of Probability and its Applications, 1978, Volume 22, Issue 4, Pages 818–825
DOI: https://doi.org/10.1137/1122094
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. A. Mogul'skiǐ, E. A. Pečerskiǐ, “On the first exit time out of a semigroup in $R^m$ for a random walk”, Teor. Veroyatnost. i Primenen., 22:4 (1977), 837–844; Theory Probab. Appl., 22:4 (1978), 818–825
Citation in format AMSBIB
\Bibitem{MogPec77}
\by A.~A.~Mogul'ski{\v\i}, E.~A.~Pe{\v{c}}erski{\v\i}
\paper On the first exit time out of a~semigroup in $R^m$ for a~random walk
\jour Teor. Veroyatnost. i Primenen.
\yr 1977
\vol 22
\issue 4
\pages 837--844
\mathnet{http://mi.mathnet.ru/tvp3632}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=458600}
\zmath{https://zbmath.org/?q=an:0386.60051}
\transl
\jour Theory Probab. Appl.
\yr 1978
\vol 22
\issue 4
\pages 818--825
\crossref{https://doi.org/10.1137/1122094}
Linking options:
  • https://www.mathnet.ru/eng/tvp3632
  • https://www.mathnet.ru/eng/tvp/v22/i4/p837
  • This publication is cited in the following 9 articles:
    1. Irina Ignatiouk-Robert, “Harmonic Functions of Random Walks in a Semigroup via Ladder Heights”, J Theor Probab, 34:1 (2021), 34  crossref
    2. Denis Denisov, Vitali Wachtel, “Random walks in cones”, Ann. Probab., 43:3 (2015)  crossref
    3. N.H. Bingham, Handbook of Statistics, 19, Stochastic Processes: Theory and Methods, 2001, 171  crossref
    4. Michio Shimura, “Exit probability of two-dimensional random walk from the quadrant”, Proc. Japan Acad. Ser. A Math. Sci., 75:3 (1999)  crossref
    5. N. H. Bingham, R. A. Doney, “On higher-dimensional analogues of the arc-sine law”, Journal of Applied Probability, 25:1 (1988), 120  crossref
    6. J. W. Cohen, “On entrance times of a homogeneous N-dimensional random walk: an identity”, Journal of Applied Probability, 25:A (1988), 321  crossref
    7. Michio Shimura, “A limit theorem for two-dimensional conditioned random walk”, Nagoya Mathematical Journal, 95 (1984), 105  crossref
    8. A. A. Novikov, Lecture Notes in Control and Information Sciences, 36, Stochastic Differential Systems, 1981, 146  crossref
    9. A. A. Novikov, “On estimates and the asymptotic behavior of nonexit probabilities of a Wiener process to a moving boundary”, Math. USSR-Sb., 38:4 (1981), 495–505  mathnet  crossref  mathscinet  zmath  isi
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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