Random walks in cones: The case of nonzero drift

We consider multidimensional discrete valued random walks with nonzero drift killed when leaving general cones of the euclidean space. We find the asymptotics for the exit time from the cone and study weak convergence of the process conditioned on not leaving the cone. We get quasistationarity of its limiting distribution. Finally we construct a version of the random walk conditioned to never leave the cone.

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Year of publication:	2014
Authors:	Duraj, Jetlir
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 4, p. 1503-1518
Publisher:	Elsevier
Subject:	Random walk \| Exit time \| Cones \| Conditioned process \| Quasistationary distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010744320