Invariance principles for random walks in cones

Jetlir Duraj () and Vitali Wachtel

Stochastic Processes and their Applications, 2020, vol. 130, issue 7, 3920-3942

Abstract: 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.

Keywords: Random walk; Exit time; Invariance principle (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:130:y:2020:i:7:p:3920-3942

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DOI: 10.1016/j.spa.2019.11.004

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