Abstract
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.
Citation
Rodolphe Garbit. "Brownian motion conditioned to stay in a cone." J. Math. Kyoto Univ. 49 (3) 573 - 592, 2009. https://doi.org/10.1215/kjm/1260975039
Information