Approximation of a multivariate conditional density
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.
math.PR↗