Refined behaviour of a conditioned random walk in the large deviations regime

DOI10.3150/23-bej1601zbMath1530.60026OpenAlexW4388513346MaRDI QIDQ6178565

Soren Asmussen, Peter W. Glynn

Publication date: 16 January 2024

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/23-bej1601

zbMATH Keywords

saddlepoint approximationfunctional limit theoremexponential tiltingtotal variation distanceconditioned Brownian motionBoltzmann lawGibbs conditioningempirical c.d.f.

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Large deviations (60F10) Functional limit theorems; invariance principles (60F17)

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