An invariance principle for random walk bridges conditioned to stay positive

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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Source https://hal.science/hal-00691962
Author Caravenna, Francesco, Chaumont, Loïc
Maintainer CCSD
Last Updated October 31, 2026, 09:17 (UTC)
Created October 31, 2026, 09:17 (UTC)
Identifier hal-00691962
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Dipartimento di Matematica e Applicazioni [Milano] ; Università degli Studi di Milano-Bicocca = University of Milano-Bicocca (UNIMIB)
creator Caravenna, Francesco
date 2012-10-09T00:00:00
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harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2024-05-03T00:00:00
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