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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1977 Volume 22, Issue 4, Pages 837–844 (Mi tvp3632)

This article is cited 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, 22:4, 818–825

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