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arxiv: 1508.07966 · v3 · pith:CH2PYZ6Xnew · submitted 2015-08-31 · 🧮 math.PR

Invariance principles for random walks in cones

classification 🧮 math.PR
keywords randomconeinvarianceprovewalkbrownianconvergenceprinciples
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We prove invariance principles for a mulditimensional random walk conditioned to stay in a cone. Our first result concerns convergence towards the Brownian meander in the cone. Furthermore, we prove functional convergence of $h$-transformed random walk to the corresponding $h$-transform of the Brownian motion. Finally, we prove an invariance principle for bridges of a random walk in a cone.

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