An invariance principle for random walk bridges conditioned to stay positive

DOI10.1214/EJP.V18-2362zbMATH Open1291.60090arXiv1204.6148OpenAlexW2132644772MaRDI QIDQ388937FDOQ388937

Authors: Francesco Caravenna, Loïc Chaumont 

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We prove an invariance principle for the bridge of a random walk conditioned to stay positive, when the random walk is in the domain of attraction of a stable law, both in the discrete and in the absolutely continuous setting. This includes as a special case the convergence under diffusive rescaling of random walk excursions toward the normalized Brownian excursion, for zero mean, finite variance random walks. The proof exploits a suitable absolute continuity relation together with some local asymptotic estimates for random walks conditioned to stay positive, recently obtained by Vatutin and Wachtel [38] and Doney [21]. We review and extend these relations to the absolutely continuous setting.

Full work available at URL: https://arxiv.org/abs/1204.6148

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zbMATH Keywords

random walkstable lawlocal limit theoreminvariance principlebridgeconditioning to stay positiveexcursionLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17)

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