Random walks in cones: The case of nonzero drift

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:124

Article

Duraj, Jetlir

关键词: Random walk;    Exit time;    Cones;    Conditioned process;    Quasistationary distribution;   

DOI  :  10.1016/j.spa.2013.12.003

来源: Elsevier

【 摘 要 】

We consider multidimensional discrete valued random walks with nonzero drift killed when leaving general cones of the euclidean 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. (C) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

Free