Analysis reveals asymptotic distributions of first passage times in random walks, suggesting deeper mathematical insights.
We consider a one-dimensional random walk Sn with i.i.d. increments with zero mean and finite variance. We derive asymptotic expansions for the tail distribution P(τx>n) of the first passage times τx:=inf{n≥1:x+Sn≤0}, x≥0. We also derive asymptotic expansion for local probabilities P(Sn=x,τ0>n). Studying the asymptotic expansions we obtain a sequence of discrete polyharmonic functions and obtain analogues of renewal theorem for them.
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Denisov et al. (2026) studied this question.
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