Brownian motion conditioned to stay in a cone
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.
Domains
Probability [math.PR]Origin | Files produced by the author(s) |
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