Invariance principles for random walks in cones

2015/08/31 by Duraj, Jetlir, Wachtel, Vitali
#60F17 #FOS: Mathematics #Primary 60G50 #Probability (math.PR) #Secondary 60G40

paper · doi:10.48550/arxiv.1508.07966

Abstract

We prove invariance principles for a mulditimensional random walk conditioned to stay in a cone. Our first result concerns convergence towards the Brownian meander in the cone. Furthermore, we prove functional convergence of h-transformed random walk to the corresponding h-transform of the Brownian motion. Finally, we prove an invariance principle for bridges of a random walk in a cone.

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