English

An invariance principle for random walk bridges conditioned to stay positive

Probability 2012-10-10 v2

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