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arXiv · 1508.07966

Invariance principles for random walks in cones

Jetlir Duraj·Vitali Wachtel
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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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Jetlir Duraj, Vitali Wachtel. 2015-11-01. Invariance principles for random walks in cones. https://arxiv.org/abs/1508.07966

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