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arxiv: 1204.6148 · v2 · pith:WQEHSWUPnew · submitted 2012-04-27 · 🧮 math.PR

An invariance principle for random walk bridges conditioned to stay positive

classification 🧮 math.PR
keywords randomwalkconditionedpositivestayabsolutelycontinuousinvariance
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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.

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