A central limit theorem for two-dimensional random walks in a cone

Rodolphe Garbit

Bulletin de la Société Mathématique de France (2011)

  • Volume: 139, Issue: 2, page 271-286
  • ISSN: 0037-9484

Abstract

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We prove that a planar random walk with bounded increments and mean zero which is conditioned to stay in a cone converges weakly to the corresponding Brownian meander if and only if the tail distribution of the exit time from the cone is regularly varying. This condition is satisfied in many natural examples.

How to cite

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Garbit, Rodolphe. "A central limit theorem for two-dimensional random walks in a cone." Bulletin de la Société Mathématique de France 139.2 (2011): 271-286. <http://eudml.org/doc/272623>.

@article{Garbit2011,
abstract = {We prove that a planar random walk with bounded increments and mean zero which is conditioned to stay in a cone converges weakly to the corresponding Brownian meander if and only if the tail distribution of the exit time from the cone is regularly varying. This condition is satisfied in many natural examples.},
author = {Garbit, Rodolphe},
journal = {Bulletin de la Société Mathématique de France},
keywords = {conditioned random walks; brownian motion; brownian meander; cone; functional limit theorem; regularly varying sequences},
language = {eng},
number = {2},
pages = {271-286},
publisher = {Société mathématique de France},
title = {A central limit theorem for two-dimensional random walks in a cone},
url = {http://eudml.org/doc/272623},
volume = {139},
year = {2011},
}

TY - JOUR
AU - Garbit, Rodolphe
TI - A central limit theorem for two-dimensional random walks in a cone
JO - Bulletin de la Société Mathématique de France
PY - 2011
PB - Société mathématique de France
VL - 139
IS - 2
SP - 271
EP - 286
AB - We prove that a planar random walk with bounded increments and mean zero which is conditioned to stay in a cone converges weakly to the corresponding Brownian meander if and only if the tail distribution of the exit time from the cone is regularly varying. This condition is satisfied in many natural examples.
LA - eng
KW - conditioned random walks; brownian motion; brownian meander; cone; functional limit theorem; regularly varying sequences
UR - http://eudml.org/doc/272623
ER -

References

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