English

Heavy-tailed random walks on complexes of half-lines

Probability 2018-08-14 v1

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 μk\mu_k. If χk\chi_k is 11 for one-sided half-lines kk and 1/21/2 for two-sided half-lines, and αk\alpha_k is the tail exponent of the jumps on half-line kk, we show that the recurrence classification for the case where all αkχk(0,1)\alpha_k \chi_k \in (0,1) is determined by the sign of kμkcot(χkπαk)\sum_k \mu_k \cot ( \chi_k \pi \alpha_k ). In the case of two half-lines, the model fits naturally on R\mathbb{R} and is a version of the oscillating random walk of Kemperman. In that case, the cotangent criterion for recurrence becomes linear in α1\alpha_1 and α2\alpha_2; 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 R\mathbb{R} with symmetric increments of tail exponent α(1,2)\alpha \in (1,2).

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