Level crossings of a Cauchy process

DOI10.1214/AOP/1176992437MaRDI QIDQ1081968zbMATH OpenOpenAlexFDO

Authors Jim Pitman, Marc Yor

Publication date 1986

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176992437

zbMATH Keywords

Brownian scaling and renewal theorycrossings of zero by a Cauchy processskew-product representation of planar Brownian motion

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sample path properties (60G17) Markov processes (60J99)

Review text

The authors use the well-known skew-product representation of planar Brownian motion, and a simple argument involving Brownian scaling and renewal theory for an embedded random walk, to establish the asymptotic behaviour of numbers of large, small, and medium crossings of zero by a Cauchy process. They further apply the results of a comparison paper to establish results for different kinds of crossings at two different levels.

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(7)

• Mouvement brownien, cônes et processus stables. (Brownian motion, cones and stable processes)
• Strong approximations of additive functionals of a planar Brownian motion.
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• Intermediate-level crossings of a first-passage path
• scientific article; zbMATH DE number 3872430 (Why is no real title available?)
• Diffusion arrêtée au premier instant où l'amplitude atteint un niveau donné
• Lamperti-type laws

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