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

MacPhee, I.M. and Menshikov, Mikhail V. and Wade, Andrew (2013) Moments of exit times from wedges for non-homogeneous random walks with asymptotically zero drifts. Journal of Theoretical Probability, 26 (1). pp. 1-30. ISSN 0894-9840

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    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 $\tau_\alpha$ from a wedge with apex at the origin and interior half-angle $\alpha$ by a non-homogeneous random walk on $\Z^2$ with mean drift at $\bx$ of magnitude $O( \| \bx \|^{-1})$ as $\| \bx \| \to \infty$. This is the critical regime for the asymptotic behaviour: under mild conditions, a previous result of the authors stated that $\tau_\alpha < \infty$ a.s.\ for any $\alpha$. Here we study the more difficult problem of the existence and non-existence of moments $\Exp [ \tau_\alpha^s]$, $s>0$. Assuming a uniform bound on the walk's increments, we show that for $\alpha < \pi/2$ there exists $s_0 \in (0,\infty)$ such that $\Exp [ \tau_\alpha^s]$ is finite for $s < s_0$ but infinite for $s > s_0$; under specific assumptions on the drift field we show that we can attain $\Exp [ \tau_\alpha ^s] = \infty$ for any $s > 1/2$. We show that there is a phase transition between drifts of magnitude $O(\| \bx \|^{-1})$ (the critical regime) and $o( \| \bx \|^{-1} )$ (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.