Stable random walks in cones
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arXiv
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| Main Authors: | , , , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866917788079095808 |
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| author | Cygan, Wojciech Denisov, Denis Palmowski, Zbigniew Wachtel, Vitali |
| author_facet | Cygan, Wojciech Denisov, Denis Palmowski, Zbigniew Wachtel, Vitali |
| contents | In this paper we consider a multidimensional random walk killed on leaving a right circular cone with a distribution of increments belonging to the normal domain of attraction of an $α$-stable and rotationally-invariant law with $α\in (0,2)\setminus \{1\}$. Based on Bogdan et al. (2018) describing the tail behaviour of the exit time of $α$-stable process from a cone and using some properties of Martin kernel of the isotropic $α$-stable process, in this paper we construct a positive harmonic function of the discrete time random walk under consideration. Then we find the asymptotic tail of the distribution of the exit time of this random walk from the cone. We also prove the corresponding conditional functional limit theorem. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_18200 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Stable random walks in cones Cygan, Wojciech Denisov, Denis Palmowski, Zbigniew Wachtel, Vitali Probability In this paper we consider a multidimensional random walk killed on leaving a right circular cone with a distribution of increments belonging to the normal domain of attraction of an $α$-stable and rotationally-invariant law with $α\in (0,2)\setminus \{1\}$. Based on Bogdan et al. (2018) describing the tail behaviour of the exit time of $α$-stable process from a cone and using some properties of Martin kernel of the isotropic $α$-stable process, in this paper we construct a positive harmonic function of the discrete time random walk under consideration. Then we find the asymptotic tail of the distribution of the exit time of this random walk from the cone. We also prove the corresponding conditional functional limit theorem. |
| title | Stable random walks in cones |
| topic | Probability |
| url | https://arxiv.org/abs/2409.18200 |