A New Duality Relation for Random Walks

A New Duality Relation for Random Walks

Report Number
432
Authors
Jim Pitman and Marc Yor
Citation
Annals of Probability 25, pages 855-900 (1997)
Abstract

For the random walk on the nonnegative integers with reflecting barrier it is shown that the right tails of the probability of the first return from state $0$ to state $0$ are simple transition probabilities of a ``dual''random walk which is obtained from the original process by interchanging the one step probabilities. A combinatorical and analytical proof are presented and extensions and relations to other concepts of duality in the literature are discussed.

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