Alternative constructions of a harmonic function for a random walk in a cone

DOI10.1214/19-EJP349zbMath1467.60030arXiv1805.01437OpenAlexW2972832190MaRDI QIDQ2274213

Denis Denisov, Vitali Wachtelï

Publication date: 19 September 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.01437

zbMATH Keywords

harmonic functionrandom walkexit time

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Functional limit theorems; invariance principles (60F17)

Related Items (6)

Martin boundary of random walks in convex cones ⋮ Invariance principles for random walks in cones ⋮ Conditioned limit theorems for hyperbolic dynamical systems ⋮ Invariance principles for integrated random walks conditioned to stay positive ⋮ The 4-Player Gambler’s Ruin Problem ⋮ Stochastic processes under constraints. Abstracts from the workshop held September 27 -- October 3, 2020 (hybrid meeting)

Cites Work

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• An Exact Asymptotics for the Moment of Crossing a Curved Boundary by an Asymptotically Stable Random Walk
• Exit times of N-dimensional random walks
• Potential theory in conical domains
• First-Passage Times over Moving Boundaries for Asymptotically Stable Walks
• Local asymptotics for the area of random walk excursions

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