Random walks conditioned to stay in Weyl chambers of type C and D
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 1461 | |
dc.contributor.author | König, Wolfgang | |
dc.contributor.author | Schmid, Patrick | |
dc.date.accessioned | 2016-03-24T17:38:33Z | |
dc.date.available | 2019-06-28T08:04:35Z | |
dc.date.issued | 2009 | |
dc.description.abstract | We construct the conditional versions of a multidimensional random walk given that it does not leave the Weyl chambers of type C and of type D, respectively, in terms of a Doob $h$-transform. Furthermore, we prove functional limit theorems for the rescaled random walks. This is an extension of recent work by Eichelsbacher and König who studied the analogous conditioning for the Weyl chamber of type A. Our proof follows recent work by Denisov and Wachtel who used martingale properties and a strong approximation of random walks by Brownian motion. Therefore, we are able to keep minimal moment assumptions. Finally, we present an alternate function that is amenable to an $h$-transform in the Weyl chamber of type C. | |
dc.description.version | publishedVersion | eng |
dc.format | application/pdf | |
dc.identifier.issn | 0946-8633 | |
dc.identifier.uri | https://doi.org/10.34657/3038 | |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/2207 | |
dc.language.iso | eng | eng |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | |
dc.relation.issn | 0946-8633 | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.subject.ddc | 510 | |
dc.subject.other | random walks | eng |
dc.subject.other | Weyl chamber for type C and D | eng |
dc.subject.other | Dyson's Brownian motion | eng |
dc.subject.other | conditioning | eng |
dc.title | Random walks conditioned to stay in Weyl chambers of type C and D | |
dc.type | Report | eng |
dc.type | Text | eng |
tib.accessRights | openAccess | eng |
wgl.contributor | WIAS | eng |
wgl.subject | Mathematik | eng |
wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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