On the local time of random walks associated with Gegenbauer polynomials

Abstract

The local time of random walks associated with Gegenbauer polynomials $P_n^{(\alpha)}(x),\ x\in [-1,1]$ is studied in the recurrent case: $\alpha\in\ [-\frac{1}{2},0]$. When $\alpha$ is nonzero, the limit distribution is given in terms of a Mittag-Leffler distribution. The proof is based on a local limit theorem for the random walk associated with Gegenbauer polynomials. As a by-product, we derive the limit distribution of the local time of some particular birth and death Markov chains on $\bbN$.