DMTCS Proceedings, Discrete Random Walks, DRW'03

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Constructing a sequence of random walks strongly converging to Brownian motion

Philippe Marchal


We give an algorithm which constructs recursively a sequence of simple random walks on Z converging almost surely to a Brownian motion. One obtains by the same method conditional versions of the simple random walk converging to the excursion, the bridge, the meander or the normalized pseudobridge.

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