Heavy-tailed random walks on complexes of half-lines
Abstract
We study a random walk on a complex of finitely many half-lines joined at a common origin; jumps are heavy-tailed and of two types, either one-sided (towards the origin) or two-sided (symmetric). Transmission between half-lines via the origin is governed by an irreducible Markov transition matrix, with associated stationary distribution . If is for one-sided half-lines and for two-sided half-lines, and is the tail exponent of the jumps on half-line , we show that the recurrence classification for the case where all is determined by the sign of . In the case of two half-lines, the model fits naturally on and is a version of the oscillating random walk of Kemperman. In that case, the cotangent criterion for recurrence becomes linear in and ; our general setting exhibits the essential non-linearity in the cotangent criterion. For the general model, we also show existence and non-existence of polynomial moments of return times. Our moments results are sharp (and new) for several cases of the oscillating random walk; they are apparently even new for the case of a homogeneous random walk on with symmetric increments of tail exponent .
Keywords
Cite
@article{arxiv.1610.00881,
title = {Heavy-tailed random walks on complexes of half-lines},
author = {Mikhail V. Menshikov and Dimitri Petritis and Andrew R. Wade},
journal= {arXiv preprint arXiv:1610.00881},
year = {2018}
}
Comments
35 pages, 2 figures