An invariance principle for random walk bridges conditioned to stay positive
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.
Keywords
Cite
@article{arxiv.1204.6148,
title = {An invariance principle for random walk bridges conditioned to stay positive},
author = {Francesco Caravenna and Loïc Chaumont},
journal= {arXiv preprint arXiv:1204.6148},
year = {2012}
}
Comments
32 pages. Minor corrections, updated bibliography