Invariance principles for random walks in cones

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:130

Article

Duraj, Jetlir¹  Wachtel, Vitali² 

[1] Harvard Univ, Dept Econ, Cambridge, MA 02138 USA

[2] Univ Augsburg, Inst Math, D-86135 Augsburg, Germany

关键词: Random walk;    Exit time;    Invariance principle;   

DOI  :  10.1016/j.spa.2019.11.004

来源: Elsevier

【 摘 要 】

We prove invariance principles for a multidimensional 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. (C) 2019 Published by Elsevier B.V.

【 授权许可】

Free