A Classification of Asymptotic Behaviors of Green Functions of Random Walks in the Quadrant - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2023

A Classification of Asymptotic Behaviors of Green Functions of Random Walks in the Quadrant

Résumé

This paper investigates the asymptotic behavior of Green functions associated to partially homogeneous random walks in the quadrant $Z_+^2$. There are four possible distributions for the jumps of these processes, depending on the location of the starting point: in the interior, on the two positive axes of the boundary, and at the origin $(0,0)$. With mild conditions on the positive jumps of the random walk, which can be unbounded, a complete analysis of the asymptotic behavior of the Green function of the random walk killed at $(0,0)$ is achieved. The main result is that {\em eight} regions of the set of parameters determine completely the possible limiting behaviors of Green functions of these Markov chains. These regions are defined by a set of relations for several characteristics of the distributions of the jumps. In the transient case, a description of the Martin boundary is obtained and in the positive recurrent case, our results give the exact limiting behavior of the invariant distribution of a state whose norm goes to infinity along some asymptotic direction in the quadrant. These limit theorems extend results of the literature obtained, up to now, essentially for random walks whose jump sizes are either $0$ or $1$ on each coordinate. Our approach relies on a combination of several methods: probabilistic representations of solutions of analytical equations, Lyapounov functions, convex analysis, methods of homogeneous random walks, and complex analysis arguments.

Dates et versions

hal-04306212 , version 1 (24-11-2023)

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Irina Ignatiouk-Robert. A Classification of Asymptotic Behaviors of Green Functions of Random Walks in the Quadrant. 2023. ⟨hal-04306212⟩
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