Brownian motion conditioned to stay in a cone
Garbit, Rodolphe
J. Math. Kyoto Univ., Tome 49 (2009) no. 1, p. 573-592 / Harvested from Project Euclid
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A result of R. Durrett, D. Iglehart and D. Miller states that Brownian meander is Brownian motion conditioned to stay positive for a unit of time, in the sense that it is the weak limit, as $x$ goes to $0$, of Brownian motion started at $x>0$ and conditioned to stay positive for a unit of time. We extend this limit theorem to the case of multidimensional Brownian motion conditioned to stay in a smooth convex cone.
Publié le : 2009-05-15
Classification:  60J65,  60B10 
@article{1260975039,
     author = {Garbit, Rodolphe},
     title = {Brownian motion conditioned to stay in a cone},
     journal = {J. Math. Kyoto Univ.},
     volume = {49},
     number = {1},
     year = {2009},
     pages = { 573-592},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1260975039}
}

Garbit, Rodolphe. Brownian motion conditioned to stay in a cone. J. Math. Kyoto Univ., Tome 49 (2009) no. 1, pp.  573-592. http://gdmltest.u-ga.fr/item/1260975039/