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Let $S = (S_t, t \geq 0)$ be a simple one-dimensional continuous-time random walk with total jump rate one, $S_0 = 0$. Denote by $T_k$ the time when $S$ exits the interval $I_k = [-k,k] \cap \mathbb{Z}$. Let also for an interval of integers $I$, $\lambda (I)$ be the principle Dirichlet eigenvalue of the normalized discrete Laplacian on $I$ defined as $\Delta f(y) = \frac 12 [f(x+1) + f(x-1) - 2f(x) ]$ for $f$ vanishing outside $I$; that is, $\lambda(I) = 1 - \cos (\frac{\pi}{\ell + 1})$, where $\ell$ is the length of $I$.

In [1] in Section 5 the following inequality is used

$$ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ P (T_k > q) \leq c (\lambda (I_k) q + 1 ) ^{1/2} e^{- \lambda (I_k) q}, \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ (1) $$ where $c >0 $ is a constant. The authors say that (1) can be obtained "from standard estimates" and give two references. One of the references is not accessible to me, while I have not found the other very helpful.

I would thus appreciate any reference where inequalities of type (1) involving the principle eigenvalue of the Laplacian are discussed.

[1] Ramírez, A. F.; Sidoravicius, V., Asymptotic behavior of a stochastic combustion growth process, J. Eur. Math. Soc. (JEMS) 6, No. 3, 293-334 (2004). ZBL1049.60089.

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Let $\tau_k$ denote the number of steps for discrete time simple RW on the integers (started at 0) to exit the interval $[-k,k]$. Let $\gamma:=\cos(\frac{\pi}{2k+2})$ so that $\lambda=1-\gamma$. The formula in [1] page 243, line -5, gives (bounding the alternating series there by twice the first term and using $\cot(x) \le 1/\sin(x) \le \pi/(2x)$ for $x\in[0,\pi/2]$ ) that $$P[\tau_k>n] \le 8\gamma^n \,.$$ The estimate for continuous time RW follows: $$P[T_k>q] \le \sum_n P[{\rm Poisson}(q)=n] \cdot P[\tau_k>n] \,$$ whence $$P[T_k>q] \le \sum_n \frac{q^n e^{-q}}{n!}\cdot 8\gamma^n =8e^{q\gamma-q}=8e^{-q\lambda}\,.$$

[1] Spitzer, Frank. Principles of random walk. GTM Vol. 34. Second edition, Springer.

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  • $\begingroup$ @Sinusx: I found a detailed discussion in Spitzer’s book, see revised answer. $\endgroup$ – Yuval Peres Jun 20 at 11:02
  • $\begingroup$ I have deleted my first comment as it is no longer pertinent to the answer. $\endgroup$ – Sinusx Jun 20 at 15:22

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