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.
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
\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:
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This publication is cited in the following 9 articles:
Irina Ignatiouk-Robert, “Harmonic Functions of Random Walks in a Semigroup via Ladder Heights”, J Theor Probab, 34:1 (2021), 34
Denis Denisov, Vitali Wachtel, “Random walks in cones”, Ann. Probab., 43:3 (2015)
N.H. Bingham, Handbook of Statistics, 19, Stochastic Processes: Theory and Methods, 2001, 171
Michio Shimura, “Exit probability of two-dimensional random walk from the quadrant”, Proc. Japan Acad. Ser. A Math. Sci., 75:3 (1999)
N. H. Bingham, R. A. Doney, “On higher-dimensional analogues of the arc-sine law”, Journal of Applied Probability, 25:1 (1988), 120
J. W. Cohen, “On entrance times of a homogeneous N-dimensional random walk: an identity”, Journal of Applied Probability, 25:A (1988), 321
Michio Shimura, “A limit theorem for two-dimensional conditioned random walk”, Nagoya Mathematical Journal, 95 (1984), 105
A. A. Novikov, Lecture Notes in Control and Information Sciences, 36, Stochastic Differential Systems, 1981, 146
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