Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion (Q2435231)
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scientific article; zbMATH DE number 6254551
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| English | Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion |
scientific article; zbMATH DE number 6254551 |
Statements
Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion (English)
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4 February 2014
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The integrability of negative moments of the exit time of the winding process of a planar Brownian motion from a cone is established. A necessary and sufficient conditions for integrability of its positive moments is also established. Limit theorems for this exit time are proved for the shrinking/expanding cone limits, along with some generalizations. Finally, Bougerol's identity is used in order to characterize the distribution of the exit time in terms of a certain Laplace transform.
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planar Brownian motion
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exit time from a cone
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Bougerol's identity
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0.8220345973968506
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0.7884185314178467
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0.7875943779945374
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0.7805394530296326
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0.7670678496360779
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