Random Walks in Cones: the Case of Nonzero Drift
Probability
2013-12-11 v3
Abstract
We consider multidimensional discrete valued random walks with nonzero drift killed when leaving general cones of the euclidian space. We find the asymptotics for the exit time from the cone and study weak convergence of the process conditioned on not leaving the cone. We get quasistationarity of its limiting distribution. Finally we construct a version of the random walk conditioned to never leave the cone.
Cite
@article{arxiv.1306.5996,
title = {Random Walks in Cones: the Case of Nonzero Drift},
author = {Jetlir Duraj},
journal= {arXiv preprint arXiv:1306.5996},
year = {2013}
}
Comments
15 pages, 0 figures