Abstract
This paper continues our previous work [4] where we have constructed a k-dimensio-nal random walk conditioned to stay in the Weyl chamber of type A. The construction was done under the assumption that the original random walk has k - 1 moments. In this note we continue the study of killed random walks in the Weyl chamber, and assume that the tail of increments is regularly varying of index α <k-1. It appears that the asymptotic behaviour of random walks is different in this case. We determine the asymptotic behaviour of the exit time, and, using this information, construct a conditioned process which lives on a partial compactification of the Weyl chamber.
Original language | English |
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Journal | Electronic Journal of Probability |
Volume | 17 |
DOIs | |
Publication status | Published - 2012 |
Keywords
- Doob h-transform
- Dyson's brownian motion
- Martin boundary
- Superharmonic function
- Weyl chamber