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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