Recurrence and transience of random walks with drift $ρx^α/t^β$

Abstract

Menshikov and Volkov [Electron. J. Probab. 13 (2008)] studied recurrence and transience of a class of Markovian random walks on $\mathbb R_+$ whose conditional drift depends on both time and position and is of order $ρx^αt^{-β}$ with $ρ>0$. The case on the critical line $2β-α=1$, with $α\in(-1,1)\setminus\{0\}$, remained open. We prove recurrence in this remaining case. Furthermore, we establish recurrence and transience criteria that complete the classification for $-1<α<1$ and $β\ge 0$, without assuming the Markov property and under weaker assumptions on the increments than those imposed by Menshikov and Volkov.