Moments of exit times from wedges for non-homogeneous random walks with asymptotically zero drifts

Iain M. MacPhee, Mikhail V. Menshikov, and Andrew R. Wade

Journal of Theoretical Probability, 26, no. 1, March 2013, 1–30. DOI: 10.1007/s10959-012-0411-x [Article] [arXiv] [MR]



Abstract

We study quantitative asymptotics of planar random walks that are spatially non-homogeneous but whose mean drifts have some regularity. Specifically, we study the first exit time τα from a wedge with apex at the origin and interior half-angle α by a non-homogeneous random walk on the square lattice with mean drift at x of magnitude O(1/|x|) as |x|. This is the critical regime for the asymptotic behaviour: under mild conditions, a previous result of the authors (see arXiv:0910.1772) stated that τα< a.s. for any α (while for a stronger drift field τα is infinite with positive probability). Here we study the more difficult problem of the existence and non-existence of moments E[τsα], s>0. Assuming (in common with much of the literature) a uniform bound on the walk's increments, we show that for α<π/2 there exists s0(0,) such that E[τsα] is finite for s<s0 but infinite for s>s0; under specific assumptions on the drift field we show that we can attain E[τsα]= for any s>1/2. We show that for απ there is a phase transition between drifts of magnitude O(1/|x|) (the critical regime) and o(1/|x|) (the subcritical regime). In the subcritical regime we obtain a non-homogeneous random walk analogue of a theorem for Brownian motion due to Spitzer, under considerably weaker conditions than those previously given (including work by Varopoulos) that assumed zero drift.