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A functional limit convergence towards brownian excursion

Authors :
Sohier, Julien
Publication Year :
2010

Abstract

We consider a random walk $S$ in the domain of attraction of a standard normal law $Z$, \textit{ie} there exists a positive sequence $a_n$ such that $S_n/a_n$ converges in law towards $Z$. The main result of this note is that the rescaled process $(S_{\lfloor nt \rfloor}/a_n, t \geq 0)$ conditioned to stay non-negative, to start and to come back \textit{near the origin} converges in law towards the normalized brownian excursion.

Subjects

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1012.0118
Document Type :
Working Paper