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Moments of exit times from wedges for non-homogeneous random walks with asymptotically zero drifts.

MacPhee, I.M. and Menshikov, M.V. and Wade, A.R. (2013) 'Moments of exit times from wedges for non-homogeneous random walks with asymptotically zero drifts.', Journal of theoretical probability., 26 (1). pp. 1-30.


We study quantitative asymptotics of planar random walks that are spatially non-homogeneous but whose mean drifts have some regularity. Specifically, we study the first exit time τα from a wedge with apex at the origin and interior half-angle α by a non-homogeneous random walk on ℤ2 with mean drift at x of magnitude O(∥x∥−1) as ∥x∥→∞. This is the critical regime for the asymptotic behaviour: under mild conditions, a previous result of the authors stated that τα<∞ a.s. for any α. Here we study the more difficult problem of the existence and non-existence of moments , s>0. Assuming a uniform bound on the walk’s increments, we show that for α<π/2 there exists s0∈(0,∞) such that TeX is finite for s<s0 but infinite for s>s0; under specific assumptions on the drift field, we show that we can attain TeX for any s>1/2. We show that there is a phase transition between drifts of magnitude O(∥x∥−1) (the critical regime) and o(∥x∥−1) (the subcritical regime). In the subcritical regime, we obtain a non-homogeneous random walk analogue of a theorem for Brownian motion due to Spitzer, under considerably weaker conditions than those previously given (including work by Varopoulos) that assumed zero drift.

Item Type:Article
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Date accepted:No date available
Date deposited:14 February 2013
Date of first online publication:March 2013
Date first made open access:No date available

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