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

preprint2012arXivOpen access

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[∣X1∣δ]<∞,E[∣X2∣2+δ]<∞ E[|X_{1}|^δ]<\infty, E[|X_{2}|^{2+ δ}]< \infty for some δ∈(0,1) δ\in (0,1)), we obtain an asymptotic estimate (as n→∞n \rightarrow \infty ) of this probability by assuming the behavior of the characteristic function of X1X_{1} near zero.

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