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Scaling limit of the local time of random walks conditioned to stay positive
Published online by Cambridge University Press: 13 February 2024
Abstract
We prove that the local time of random walks conditioned to stay positive converges to the corresponding local time of three-dimensional Bessel processes by proper scaling. Our proof is based on Tanaka’s pathwise construction for conditioned random walks and the derivation of asymptotics for mixed moments of the local time.
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- © The Author(s), 2024. Published by Cambridge University Press on behalf of Applied Probability Trust