Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion
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Publication:2435231
Abstract: We obtain some integrability properties and some limit theorems for the exit time from a cone of a planar Brownian motion, and we check that our computations are correct via Bougerol's identity.
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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Cited in
(12)- Stable windings at the origin
- Brownian motion in a quasi-cone
- On the probability of fast exits and long stays of a planar Brownian motion in simply connected domains
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