Angular asymptotics for multi-dimensional non-homogeneous random walks with asymptotically zero drift

Details Angular asymptotics for multi-dimensional non-homogeneous random walks with asymptotically zero drift Angular asymptotics for multi-dimensional non-homogeneous random walks with asymptotically zero drift

2009-10-09

arxiv.org/abs/0910.1772v1

Markov Processes and Related Fields, Vol. 16 (2010), no. 2, p. 351-388

Mathematics

Probability

35 pages, 2 figures (1 colour)

Scientific paper

We study the first exit time $\tau$ from an arbitrary cone with apex at the origin by a non-homogeneous random walk (Markov chain) on $\Z^d$ ($d \geq 2$) with mean drift that is asymptotically zero. Specifically, if the mean drift at $\bx \in \Z^d$ is of magnitude $O(\| \bx\|^{-1})$, we show that $\tau<\infty$ a.s. for any cone. On the other hand, for an appropriate drift field with mean drifts of magnitude $\| \bx\|^{-\beta}$, $\beta \in (0,1)$, we prove that our random walk has a limiting (random) direction and so eventually remains in an arbitrarily narrow cone. The conditions imposed on the random walk are minimal: we assume only a uniform bound on 2nd moments for the increments and a form of weak isotropy. We give several illustrative examples, including a random walk in random environment model.

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