Functional Central Limit Theorems for Random Walks Conditioned to Stay Positive
Iglehart, Donald L.
Ann. Probab., Tome 2 (1974) no. 6, p. 608-619 / Harvested from Project Euclid
Let $\{\xi_k: k \geqq 1\}$ be a sequence of independent, identically distributed random variables with $E\{\xi_1\} = 0$ and $E\{\xi_1^2\} = \sigma^2, 0 < \sigma^2 < \infty$. Form the random walk $\{S_n: n \geqq 0\}$ by setting $S_0 = 0, S_n = \xi_1 + \cdots + \xi_n, n \geqq 1$. Let $T$ denote the hitting time of the set $(-\infty, 0\rbrack$ by the random walk. The main result in this paper is a functional central limit theorem for the random functions $S_{\lbrack nt \rbrack}/\sigma n^{\frac{1}{2}}, 0 \leqq t \leqq 1$, conditional on $T > n$. The limit process, $W^+$, is identified in terms of standard Brownian motion. Similar results are obtained for random partial sums and renewal processes. Finally, in the case where $E\{\xi_1\} = \mu > 0$, it is shown that the conditional (on $T > n$) and unconditional weak limit for $(S_{\lbrack nt\rbrack} - \mu nt)/\sigma n^{\frac{1}{2}}$ is the same, namely, Brownian motion.
Publié le : 1974-08-14
Classification:  Conditioned limit theorems,  functional central limit theorem,  invariance principle,  random walks,  renewal theory,  weak convergence,  60F05,  60G65,  60K25
@article{1176996607,
     author = {Iglehart, Donald L.},
     title = {Functional Central Limit Theorems for Random Walks Conditioned to Stay Positive},
     journal = {Ann. Probab.},
     volume = {2},
     number = {6},
     year = {1974},
     pages = { 608-619},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996607}
}
Iglehart, Donald L. Functional Central Limit Theorems for Random Walks Conditioned to Stay Positive. Ann. Probab., Tome 2 (1974) no. 6, pp.  608-619. http://gdmltest.u-ga.fr/item/1176996607/