Invariance principles for integrated random walks conditioned to stay positive
Bär M, Duraj J, Wachtel V (2023)
Annals of Applied Probability 33(1): 127-160.
Zeitschriftenaufsatz
| Veröffentlicht | Englisch
Download
Es wurden keine Dateien hochgeladen. Nur Publikationsnachweis!
Autor*in
Bär, Michael;
Duraj, Jetlir;
Wachtel, VitaliUniBi
Einrichtung
Abstract / Bemerkung
Let S (n) be a centered random walk with finite second moment. We con-sider the integrated random walk T (n) = S(0) + S(1) + center dot center dot center dot + S(n). We prove invariance principles for the meander and for the bridge of this process, un-der the condition that the integrated random walk remains positive. Further-more, we prove the functional convergence of its Doob's h-transform to the h-transform of the Kolmogorov diffusion conditioned to stay positive.
Stichworte
Random walk harmonic function;
invariance principle;
h-transform;
Kolmogorov diffusion
Erscheinungsjahr
2023
Zeitschriftentitel
Annals of Applied Probability
Band
33
Ausgabe
1
Seite(n)
127-160
ISSN
1050-5164
Page URI
https://pub.uni-bielefeld.de/record/2978105
Zitieren
Bär M, Duraj J, Wachtel V. Invariance principles for integrated random walks conditioned to stay positive. Annals of Applied Probability. 2023;33(1):127-160.
Bär, M., Duraj, J., & Wachtel, V. (2023). Invariance principles for integrated random walks conditioned to stay positive. Annals of Applied Probability, 33(1), 127-160. https://doi.org/10.1214/22-AAP1811
Bär, Michael, Duraj, Jetlir, and Wachtel, Vitali. 2023. “Invariance principles for integrated random walks conditioned to stay positive”. Annals of Applied Probability 33 (1): 127-160.
Bär, M., Duraj, J., and Wachtel, V. (2023). Invariance principles for integrated random walks conditioned to stay positive. Annals of Applied Probability 33, 127-160.
Bär, M., Duraj, J., & Wachtel, V., 2023. Invariance principles for integrated random walks conditioned to stay positive. Annals of Applied Probability, 33(1), p 127-160.
M. Bär, J. Duraj, and V. Wachtel, “Invariance principles for integrated random walks conditioned to stay positive”, Annals of Applied Probability, vol. 33, 2023, pp. 127-160.
Bär, M., Duraj, J., Wachtel, V.: Invariance principles for integrated random walks conditioned to stay positive. Annals of Applied Probability. 33, 127-160 (2023).
Bär, Michael, Duraj, Jetlir, and Wachtel, Vitali. “Invariance principles for integrated random walks conditioned to stay positive”. Annals of Applied Probability 33.1 (2023): 127-160.
Export
Markieren/ Markierung löschen
Markierte Publikationen
Web of Science
Dieser Datensatz im Web of Science®Suchen in
Google Scholar