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Journal Articles J. Math. Kyoto Univ. Year : 2009

Brownian motion conditioned to stay in a cone

Rodolphe Garbit
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Abstract

A result of R. Durrett, D. Iglehart and D. Miller states that Brownian meander is Brownian motion conditioned to stay positive for a unit of time, in the sense that it is the weak limit, as $x$ goes to $0$, of Brownian motion started at $x>0$ and conditioned to stay positive for a unit of time. We extend this limit theorem to the case of multidimensional Brownian motion conditioned to stay in a smooth convex cone.
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Dates and versions

hal-00341032 , version 1 (24-11-2008)
hal-00341032 , version 2 (28-11-2008)
hal-00341032 , version 3 (06-06-2009)

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Cite

Rodolphe Garbit. Brownian motion conditioned to stay in a cone. J. Math. Kyoto Univ., 2009, 49 (3), pp.573-592. ⟨hal-00341032v3⟩
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