English

Green function for an asymptotically stable random walk in a half space

Probability 2022-10-11 v2

Abstract

We consider an asymptotically stable multidimensional random walk S(n)=(S1(n),,Sd(n))S(n)=(S_1(n),\ldots, S_d(n) ). Let τx:=min{n>0:x1+S1(n)0}\tau_x:=\min\{n>0: x_{1}+S_1(n)\le 0\} be the first time the random walk S(n)S(n) leaves the upper half-space. We obtain the asymptotics of pn(x,y):=P(x+S(n)y+Δ,τx>n)p_n(x,y):= P(x+S(n) \in y+\Delta, \tau_x>n) as nn tends to infinity, where Δ\Delta is a fixed cube. From that we obtain the local asymptotics for the Green function G(x,y):=npn(x,y)G(x,y):=\sum_n p_n(x,y), as y|y| and/or x|x| tend to infinity.

Keywords

Cite

@article{arxiv.2209.12603,
  title  = {Green function for an asymptotically stable random walk in a half space},
  author = {Denis Denisov and Vitali Wachtel},
  journal= {arXiv preprint arXiv:2209.12603},
  year   = {2022}
}

Comments

35 pages. In the second version we have restructured the paper, stated and proved a more general form of Theorem 1. We have also given a second (shorter) derivation of normal deviations (Theorem 2). Some misprints have been corrected

R2 v1 2026-06-28T02:05:49.784Z