Winding numbers for 2-dimensional, positive recurrent diffusions (Q1320301): Difference between revisions

A well-known theorem of Spitzer says that the winding angle \(\theta_ t\) of a standard Brownian motion on the plane is the law-convergence of \(2\theta_ t/\log t\) to the standard Cauchy distribution. The not-quite analogous result of this paper for a non-degenerate positive recurrent diffusion \(Z_ t\) is the law-convergence of \(\theta_ t/t\) to \(\alpha\cdot\text{Cauchy}+\beta\). The diffusion \(Z\) is governed by the Itô equation \(dZ=b(Z)dt+\sigma(Z)dW\) and the unique stationary distribution has density \(s\) with respect to the Lebesgue measure. When \(\sigma(0)\sigma(0)^ T=1\), the identities \[ \alpha=\pi s(0), \text{ and } \beta=\int s \Biggl( b_ 2x-b_ 1y+ {xy\over x^ 2+y^ 2}(a_{11}- a_{22})+{y^ 2-x^ 2\over x^ 2+y^ 2}a_{12} \Biggr) {s dx dy\over x^ 2+y^ 2} \] hold. The proof is done with careful estimation on the Itô transformed polar coordinate process \((R_ t,\theta_ t)\).