Moments of exit times from wedges for non-homogeneous random walks with   asymptotically zero drifts
  We study quantitative asymptotics of planar random walks that are spatially non-homogeneous but whose mean drifts have some regularity. Specifically, we study the first exit time $\tau_\alpha$ from a wedge with apex at the origin and interior half-angle $\alpha$ by a non-homogeneous random walk on the square lattice with mean drift at $x$ of magnitude $O(1/|x|)$ as $|x| \to \infty$. This is the critical regime for the asymptotic behaviour: under mild conditions, a previous result of the authors (see arXiv:0910.1772) stated that $\tau_\alpha < \infty$ a.s. for any $\alpha$ (while for a stronger drift field $\tau_\alpha$ is infinite with positive probability). Here we study the more difficult problem of the existence and non-existence of moments $E[\tau_\alpha^s]$, $s>0$. Assuming (in common with much of the literature) a uniform bound on the walk's increments, we show that for $\alpha < \pi/2$ there exists $s_0 \in (0,\infty)$ such that $E[\tau_\alpha^s]$ is finite for $s < s_0$ but infinite for $s > s_0$; under specific assumptions on the drift field we show that we can attain $E[\tau_\alpha^s] = \infty$ for any $s > 1/2$. We show that for $\alpha \leq \pi$ there is a phase transition between drifts of magnitude $O(1/|x|)$ (the critical regime) and $o(1/|x|)$ (the subcritical regime). In the subcritical regime we obtain a non-homogeneous random walk analogue of a theorem for Brownian motion due to Spitzer, under considerably weaker conditions than those previously given (including work by Varopoulos) that assumed zero drift. 
Iain M. MacPhee, Mikhail V. Menshikov, Andrew R. Wade