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Preprints, Working Papers, ... Year : 2008

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. Properties of the limit process are obtained and applications to random walks are given.
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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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Rodolphe Garbit. Brownian motion conditioned to stay in a cone. 2008. ⟨hal-00341032v2⟩
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