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Journal Article

On a Functional Central Limit Theorem for Random Walks Conditioned to Stay Positive

Erwin Bolthausen
The Annals of Probability
Vol. 4, No. 3 (Jun., 1976), pp. 480-485
Stable URL: http://www.jstor.org/stable/2959252
Page Count: 6

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Topics: Central limit theorem, Random walk, Perceptron convergence procedure, Brownian motion
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
On a Functional Central Limit Theorem for Random Walks Conditioned to Stay Positive
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Abstract

Let $\{X_k: k \geqq 1\}$ be a sequence of i.i.d.rv with $E(X_i) = 0$ and $E(X_i^2) = \sigma^2, 0 < \sigma^2 < \infty$. Set $S_n = X_1 + \cdots + X_n$. Let $Y_n(t)$ be $S_k/\sigma n^\frac{1}{2}$ for $t = k/n$ and suitably interpolated elsewhere. This paper gives a generalization of a theorem of Iglehart which states weak convergence of $Y_n(t)$, conditioned to stay positive, to a suitable limiting process.

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