Conditional limit theorems for a left-continuous random walk

Abstract

The present work considers a left-continuous random walk moving on the positive integers and having an absorbing state at the origin. Limit theorems are derived for the position of the walk at time n given: (a) absorption does not occur until after n, or (b) absorption does not occur until after m + n where m is very large, or (c) absorption occurs at m + n. A limit theorem is given for an R-positive recurrent Markov chain on the non-negative integers with an absorbing origin and subject to condition (c) above.