The Martin boundary and ratio limit theorems for killed random walks

Authors
Citation
Ra. Doney, The Martin boundary and ratio limit theorems for killed random walks, J LOND MATH, 58, 1998, pp. 761-768
Citations number
10
Categorie Soggetti
Mathematics
Journal title
JOURNAL OF THE LONDON MATHEMATICAL SOCIETY-SECOND SERIES
ISSN journal
00246107 → ACNP
Volume
58
Year of publication
1998
Part
3
Pages
761 - 768
Database
ISI
SICI code
0024-6107(199812)58:<761:TMBARL>2.0.ZU;2-P
Abstract
It is shown that if S is an aperiodic random walk on the integers, S* is th e 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-ne gative and superregular for S* and H+. This allows all the regular function s 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 t heorem for P-x(tau* = n)/P-0{tau* = n}, where tau* is the lifetime of S*, i n the case when S drifts to -infinity, and the right-hand tail of its step distribution is 'locally sub-exponential'.