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Stable random walks in cones

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SSD - Stochastic systems for anomalous diffusion

We consider a multidimensional random walk in Euclidean space with steps belonging to the domain of attraction an $\alpha$-stable rotationally invariant law, for $\alpha \in (0,1)\cup (1,2)$. This random walk is killed upon leaving a given right circular cone. We shall present asymptotics for the tail of the distribution of the exit time from the cone and the conditional functional limit theorem for the killed random walk. This is a joint work with D. Denisov (Manchester), Z. Palmowski (WrocΕ‚aw), and V. Wachtel (Bielefeld).

This talk is part of the Isaac Newton Institute Seminar Series series.

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