Return Probabilities for the Reflected Random Walk on $\mathbb N_0$
Résumé
Let $(Y_n)$ be a sequence of i.i.d. $\mathbb Z$-valued random variables with law $\mu$. The reflected random walk $(X_n)$ is defined recursively by $X_0=x \in \mathbb N_0, X_{n+1}=\vert X_n+Y_{n+1}\vert$. Under mild hypotheses on the law $\mu$, it is proved that, for any $ y \in \mathbb N_0$, as $n \to +\infty$, one gets $\mathbb P_x[X_n=y]\sim C_{x, y} R^{-n} n^{-3/2}$ when $\sum_{k\in \mathbb Z} k\mu(k) >0$ and $\mathbb P_x[X_n=y]\sim C_{ y} n^{-1/2}$ when $\sum_{k\in \mathbb Z} k\mu(k) =0$, for some constants $R, C_{x, y}$ and $C_y >0$.
Domaines
Probabilités [math.PR]Origine | Fichiers produits par l'(les) auteur(s) |
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