Brownian motion conditioned to stay in a cone

DOI10.1215/KJM/1260975039MaRDI QIDQ965071zbMATH OpenOpenAlexFDO

Authors Rodolphe Garbit

Publication date 21 April 2010

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

Full work available at URL https://arxiv.org/abs/0811.4079, https://projecteuclid.org/euclid.kjm/1260975039

Mathematics Subject Classification ID

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

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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Cited in

(11)

• Conditioned martingales
• Improved Simulation for the Killed Brownian Motion in a Cone
• Transience and recurrence of Markov processes with constrained local time
• Bipolar orientations on planar maps and \(\mathrm{SLE}_{12}\)
• Rate of escape of conditioned Brownian motion
• 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
• Dyson Ferrari-Spohn diffusions and ordered walks under area tilts

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