Abstract
Tanaka’s construction gives a pathwise construction of “random walk conditioned to stay positive”, and has recently been used in [3] and [8] to establish other results about this process. In this note we give a simpler proof of Tanaka’s construction using a method which also extends to the case of Lévy processes.
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© 2005 Springer-Verlag Berlin/Heidelberg
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Doney, R.A. (2005). Tanaka’s Construction for Random Walks and Lévy Processes. In: Émery, M., Ledoux, M., Yor, M. (eds) Séminaire de Probabilités XXXVIII. Lecture Notes in Mathematics, vol 1857. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-31449-3_1
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DOI: https://doi.org/10.1007/978-3-540-31449-3_1
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Publisher Name: Springer, Berlin, Heidelberg
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Online ISBN: 978-3-540-31449-3
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