Gambler’s ruin estimates for random walks with symmetric spatially inhomogeneous increments
Mustapha, Sami
Bernoulli, Tome 13 (2007) no. 1, p. 131-147 / Harvested from Project Euclid
Generalizing to higher dimensions the classical gambler’s ruin estimates, we give pointwise estimates for the transition kernel corresponding to a spatially inhomogeneous random walk on the half-space. Our results hold under some strong but natural assumptions of symmetry, boundedness of the increments, and ellipticity. Among the most important steps in our proof are: discrete variants of the boundary Harnack estimate, as proven by Bauman, Bass and Burdzy, and Fabes et al., based on comparison arguments and potential-theoretical tools; the existence of a positive L̃-harmonic function globally defined in the half-space; and some Gaussian inequalities obtained by a treatment inspired by Varopoulos.
Publié le : 2007-02-14
Classification:  discrete potential theory,  Gaussian estimates,  Markov chains,  transition kernels
@article{1175287724,
     author = {Mustapha, Sami},
     title = {Gambler's ruin estimates for random walks with symmetric spatially inhomogeneous increments},
     journal = {Bernoulli},
     volume = {13},
     number = {1},
     year = {2007},
     pages = { 131-147},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1175287724}
}
Mustapha, Sami. Gambler’s ruin estimates for random walks with symmetric spatially inhomogeneous increments. Bernoulli, Tome 13 (2007) no. 1, pp.  131-147. http://gdmltest.u-ga.fr/item/1175287724/