Étude asymptotique de certains mouvements browniens complexes avec drift (Q1067314)
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English | Étude asymptotique de certains mouvements browniens complexes avec drift |
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Étude asymptotique de certains mouvements browniens complexes avec drift (English)
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1986
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We consider a process in the plane solution of the stochastic differential equation: \[ dX_ t=dB_ t+b(X_ t)dt \] where B denotes a two-dimensional Brownian motion and the function \(b:R^ 2\to R^ 2\) satisfies some integrability conditions which ensure that the process X is recurrent. Limit theorems are proved for the winding numbers of B around several points of the plane, which extend \textit{J. W. Pitman} and \textit{M. Yor}'s result in the case without drift [Bull. Am. Math. Soc., New Ser. 10, 109-111 (1984; Zbl 0535.60073) and ''Asymptotic laws of planar Brownian motion.'' Ann. Probab., to appear]. Some limit theorems are also proved for the hitting times of small disks centered at distinct points of the plane, when the radius goes to 0. Similar results hold for Brownian motion with bounded drift on the sphere \(S^ 2\).
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winding numbers
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hitting times of small disks
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