Moments of Exit Times from Wedges for Non-homogeneous Random Walks with Asymptotically Zero Drifts

Iain M. MacPhee, Mikhail V. Menshikov and Andrew R. Wade ()
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Iain M. MacPhee: Durham University
Mikhail V. Menshikov: Durham University
Andrew R. Wade: University of Strathclyde

Journal of Theoretical Probability, 2013, vol. 26, issue 1, 1-30

Abstract: Abstract We study quantitative asymptotics of planar random walks that are spatially non-homogeneous but whose mean drifts have some regularity. Specifically, we study the first exit time τ α from a wedge with apex at the origin and interior half-angle α by a non-homogeneous random walk on ℤ2 with mean drift at x of magnitude O(∥x∥−1) as ∥x∥→∞. This is the critical regime for the asymptotic behaviour: under mild conditions, a previous result of the authors stated that τ α 0. Assuming a uniform bound on the walk’s increments, we show that for α s 0; under specific assumptions on the drift field, we show that we can attain ${\mathbb{E}}[ \tau_{\alpha}^{s}] = \infty$ for any s>1/2. We show that there is a phase transition between drifts of magnitude O(∥x∥−1) (the critical regime) and o(∥x∥−1) (the subcritical regime). In the subcritical regime, we obtain a non-homogeneous random walk analogue of a theorem for Brownian motion due to Spitzer, under considerably weaker conditions than those previously given (including work by Varopoulos) that assumed zero drift.

Keywords: Angular asymptotics; Non-homogeneous random walk; Asymptotically zero perturbation; Passage-time moments; Exit from cones; Lyapunov functions; 60J10; 60G40; 60G50 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s10959-012-0411-x

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