Level Crossing Probabilities II: Polygonal Recurrence of Multidimensional Random Walks

Rainer Siegmund-Schultze, Heinrich von Weizsaecker

Published 2004-06-22, updated 2006-03-10Version 3

In part I (math.PR/0406392) we proved for an arbitrary one-dimensional random walk with independent increments that the probability of crossing a level at a given time n is of the maximal order square root of n. In higher dimensions we call a random walk 'polygonally recurrent' (resp. transient) if a.s. infinitely many (resp. finitely many) of the straight lines between two consecutive sites hit a given bounded set. The above estimate implies that three-dimensional random walks with independent components are polygonally transient. Similarly a directionally reinforced random walk on Z^3 in the sense of Mauldin, Monticino and v.Weizsaecker [1] is transient. On the other hand we construct an example of a transient but polygonally recurrent random walk with independent components on Z^2.