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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1978 Volume 23, Issue 1, Pages 161–169 (Mi tvp3021)

This article is cited in 12 papers

Short Communications

The recurrency of oscillating random walks

B. A. Rogozin, S. G. Foss

Novosibirsk

Abstract: Let $Y=\{y_n\}_{n=0}^{\infty}$ be an oscillating random walk ([1]):
$$ y_0=0,\qquad y_{n+1}-y_n= \begin{cases} \xi'_{n+1},&y_n\le 0,\\ \xi''_{n+1},&y_n>0, \end{cases} \qquad(n=1,2,\dots), $$
$\{\xi'_n\}_{n=1}^{\infty}$ and $\{\xi''_n\}_{n=1}^{\infty}$ be two sequences of independent identically distributed, in each sequence, random variables with values in the set $\{0,\pm 1,\pm 2,\dots\}$,
\begin{gather*} S'_0=S''_0=0,\\ S'_n=\sum_{k=1}^n\xi'_k,\qquad S''_n=\sum_{k=1}^n\xi''_k,\qquad n=1,2,\dots \end{gather*}
The random walks $S'_n=\{S'_n\}_{n=0}^{\infty}$ and $S''_n=\{S''_n\}_{n=0}^{\infty}$ are aperiodic. It is shown that $Y$ can be transient in the case $\mathbf M\xi'_1=\mathbf M\xi''_1=0$. A recurrency condition for $Y$ is obtained when $S'$ and $S''$ are stable random walks.

Received: 09.06.1976


 English version:
Theory of Probability and its Applications, 1978, 23:1, 155–162

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