English

Hitting time of a half-line by a two-dimensional nonsymmetric random walk

Probability 2012-12-13 v1

Abstract

We consider the probability that a two-dimensional random walk starting from the origin never returns to the half-line (,0]×0 (- \infty,0] \times {0} before time nn. Let X(1)=(X1,X2)X^{(1)}=(X_{1},X_{2}) be the increment of the two-dimensional random walk. For an aperiodic random walk with moment conditions (E[X2]=0E[X_{2}]=0 and E[X1δ]<,E[X22+δ]< E[|X_{1}|^{\delta}]<\infty, E[|X_{2}|^{2+ \delta}]< \infty for some δ(0,1) \delta \in (0,1)), we obtain an asymptotic estimate (as nn \rightarrow \infty ) of this probability by assuming the behavior of the characteristic function of X1X_{1} near zero.

Keywords

Cite

@article{arxiv.1212.2714,
  title  = {Hitting time of a half-line by a two-dimensional nonsymmetric random walk},
  author = {Yasunari Fukai},
  journal= {arXiv preprint arXiv:1212.2714},
  year   = {2012}
}