Brownian motion conditioned to stay in a cone
Probability
2014-03-25 v3
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 goes to 0, of Brownian motion started at 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.
Keywords
Cite
@article{arxiv.0811.4079,
title = {Brownian motion conditioned to stay in a cone},
author = {Rodolphe Garbit},
journal= {arXiv preprint arXiv:0811.4079},
year = {2014}
}