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Teoriya Veroyatnostei i ee Primeneniya, 1977, Volume 22, Issue 4, Pages 837–844 (Mi tvp3632)  

This article is cited in 9 scientific papers (total in 9 papers)

Short Communications

On the first exit time out of a semigroup in $R^m$ for a random walk

A. A. Mogul'skiĭ, E. A. Pečerskiĭ

Novosibirsk
Abstract: Let $(S_n)$ be a random walk generated by a sequence of random i. i. d. vectors $(\xi_n)$; $\xi_n\in R^m$. Let $H$ be a subset of $R^m$. In this paper, we study the random variable
$$ \eta=\eta_H=\min\{k\colon k\ge 1,S_k\notin H\}. $$
Main results are obtained in the case when $H$ is a semi-group. For $|z|<1$ and $\lambda=(\lambda_1,\dots,\lambda_m)\in R^m$, we prove the formula
$$ \sum_{n=0}^{\infty}z^n\mathbf M(e^{i(\lambda,S_n)};\eta_H>n)= \exp\biggl\{\sum_{n=1}^{\infty}\frac{z^n}{n}\mathbf M(e^{i(\lambda,S_n)};E_{0,n})\biggr\} $$
where $E_{0,n}$ is the event: $n$ is not a ladder index for any of $n$ cyclical rearrangements of $\xi_1,\dots,\xi_n$.
We find some sufficient conditions for the uniqueness of a solution of the equation
$$ (1-z\Phi(\lambda))\psi_1(z,\lambda)=\psi_2(z,\lambda) $$
where $\Phi(\lambda)=\mathbf M\exp\{i(\lambda,\xi_1)\}$.
Some estimates for the sequence $(\mathbf P(\eta_H>n))$ are also obtained.
Received: 22.03.1976
English version:
Theory of Probability and its Applications, 1978, Volume 22, Issue 4, Pages 818–825
DOI: https://doi.org/10.1137/1122094
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. A. Mogul'skiǐ, E. A. Pečerskiǐ, “On the first exit time out of a semigroup in $R^m$ for a random walk”, Teor. Veroyatnost. i Primenen., 22:4 (1977), 837–844; Theory Probab. Appl., 22:4 (1978), 818–825
Citation in format AMSBIB
\Bibitem{MogPec77}
\by A.~A.~Mogul'ski{\v\i}, E.~A.~Pe{\v{c}}erski{\v\i}
\paper On the first exit time out of a~semigroup in $R^m$ for a~random walk
\jour Teor. Veroyatnost. i Primenen.
\yr 1977
\vol 22
\issue 4
\pages 837--844
\mathnet{http://mi.mathnet.ru/tvp3632}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=458600}
\zmath{https://zbmath.org/?q=an:0386.60051}
\transl
\jour Theory Probab. Appl.
\yr 1978
\vol 22
\issue 4
\pages 818--825
\crossref{https://doi.org/10.1137/1122094}
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  • https://www.mathnet.ru/eng/tvp/v22/i4/p837
  • This publication is cited in the following 9 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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