2014/01/14 by Virgile Caron, Caron Virgile, Virgile, Caron
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Probability and Risk Models #Probability and Statistical Research #math.PR
paper · pdf · doi:10.48550/arxiv.1401.3256
arxiv created 2014/01/14 · openalex publication_date 2014/01/14 · arxiv updated 2014/01/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper extends the result of Broniatowski and Caron (2013) pertaining to the asymptotic distribution of a random walk conditioned on its final value as the number of summands increase. We consider multivariate light-tailed random walk and present a sharp approximation of long runs conditioned by an average of a function of its summands as their number tends to infinity.