Brownian motion conditioned to stay in a cone

DOI10.1215/KJM/1260975039zbMATH Open1192.60091arXiv0811.4079OpenAlexW1521999818MaRDI QIDQ965071FDOQ965071

Authors: Rodolphe Garbit 

Publication date: 21 April 2010

Published in: Journal of Mathematics of Kyoto University (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/0811.4079

Recommendations

• scientific article; zbMATH DE number 28044
• Invariance principles for random walks in cones
• On a Brownian motion conditioned to stay in an open set
• A central limit theorem for two-dimensional random walks in a cone
• Some properties of Brownian motion in a cone

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Brownian motion (60J65)

Cited In (9)

• Improved Simulation for the Killed Brownian Motion in a Cone
• Bipolar orientations on planar maps and \(\mathrm{SLE}_{12}\)
• Entrance laws at the origin of self-similar Markov processes in high dimensions
• Invariance principles for random walks in cones
• On a Brownian motion conditioned to stay in an open set
• A central limit theorem for two-dimensional random walks in a cone
• Random walks in cones
• Transience and Recurrence of Markov Processes with Constrained Local Time
• Dyson Ferrari-Spohn diffusions and ordered walks under area tilts

This page was built for publication: Brownian motion conditioned to stay in a cone

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q965071)