Functional limit theorem for the local time of stopped random walk

V. I. Afanasyev

Diskretnaya Matematika, Tome 31 (2019) no. 1, pp. 7-20

Résumé

Integer random walk $\left\{ S_{n},\,n\geq 0\right\} $ with zero drift and finite variance $\sigma ^{2}$ stopped at the moment $T$ of the first visit to the half axis $\left( -\infty ,0\right] $ is considered. For the random process which associates the variable $u\geq 0$ with the number of visits the state $\left\lfloor u\sigma \sqrt{n}\right\rfloor $ by this walk conditioned on $T>n$, the functional limit theorem on the convergence to the local time of stopped Brownian meander is proved.

Détail

Keywords: conditioned Brownian motions, local time of conditioned Brownian motions, functional limit theorems.