The Martin boundary and ratio limit theorems for killed random walks

被引:17
|
作者
Doney, RA [1 ]
机构
[1] Univ Manchester, Dept Math, Stat Lab, Manchester M13 0JH, Lancs, England
来源
JOURNAL OF THE LONDON MATHEMATICAL SOCIETY-SECOND SERIES | 1998年 / 58卷
关键词
D O I
10.1112/S0024610798006826
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
It is shown that if S is an aperiodic random walk on the integers, S* is the Markov chain that arises when S is killed when it leaves the non-negative integers, and H+ is the renewal process of weak increasing ladder heights in S, then there is a 1:1 correspondence between functions which are non-negative and superregular for S* and H+. This allows all the regular functions for S* to be described, and thus a result due to Spitzer to be completed for the recurrent case. This result is then applied to give a ratio limit theorem for P-x(tau* = n)/P-0{tau* = n}, where tau* is the lifetime of S*, in the case when S drifts to -infinity, and the right-hand tail of its step distribution is 'locally sub-exponential'.
引用
收藏
页码:761 / 768
页数:8
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