Stable windings (Q2565356): Difference between revisions
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scientific article
Language | Label | Description | Also known as |
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English | Stable windings |
scientific article |
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Stable windings (English)
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4 August 1997
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It is considered a complex plane valued càdlàg process \(Z=(Z_t, t\geq 0)\) with stationary independent increments, such that for all \(z\in\mathbb{C}\), \(t\geq 0\) and some \(\alpha\in(0,2)\), \[ E[\exp\{i(z,Z_t)\}\mid Z_0= 0]=\exp\{- t|z|^\alpha\}, \] and the càdlàg process \(\theta= (\theta_t, t\geq 0)\) of the winding number around \(0\) of the process \(Z\) started from \(1\), is characterized by the properties that \(\theta\) has no jumps of absolute length greater than \(\pi\) and \(\exp\{i\theta_t\}= Z_t|Z_t|^{-1}\) for all \(t\geq 0\). It is proved that the sequence of stochastic processes \((n^{-1/2}\theta_{\exp(nt)}, t\geq 0)\) converges weakly in the Skorokhod topology to \((\beta_{c(\alpha)t}, t\geq 0)\), where \((\beta_t, t\geq 0)\) is a standard Brownian motion and \[ c(\alpha)={\alpha2^{-1-\alpha/2}\over\pi} \int_{\mathbb{C}}|z|^{-2-\alpha}|\arg(1+ z)|^2dz. \] An analogous asymptotic property is derived for the winding number around \(0\) of the stable random walk.
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stationary independent increments
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winding number
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Skorokhod topology
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asymptotic property
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stable random walk
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