Long runs under point conditioning. The real case

Details Long runs under point conditioning. The real case Long runs under point conditioning. The real case

2010-10-18

arxiv.org/abs/1010.3616v5

Mathematics

Probability

Scientific paper

This paper presents a sharp approximation of the density of long runs of a random walk conditioned on its end value or by an average of a functions of its summands as their number tends to infinity. The conditioning event is of moderate or large deviation type. The result extends the Gibbs conditional principle in the sense that it provides a description of the distribution of the random walk on long subsequences. An algorithm for the simulation of such long runs is presented, together with an algorithm determining their maximal length for which the approximation is valid up to a prescribed accuracy.

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