On the windings of complex-valued Ornstein-Uhlenbeck processes driven by a Brownian motion and by a stable process

DOI10.1080/17442508.2014.1000904zbMATH Open1408.60071arXiv1209.4027OpenAlexW2047001162MaRDI QIDQ2804009FDOQ2804009

Authors: Stavros Vakeroudis 

Publication date: 27 April 2016

Published in: Stochastics (Search for Journal in Brave)

Abstract: We deal with a complex-valued Ornstein-Uhlenbeck (OU) process with parameter $lambdainmathbbR$starting from a point different from 0 and the way that it winds around the origin.The starting point of this paper is the skew product representation for an OU process which is associated to the skew product representationof its driving planar Brownian motion under a new deterministic time scale.We present the stochastic differential equations (SDEs)for the radial and for the winding process. Moreover, we obtain the large time (analogue of Spitzer's Theorem for Brownian motion in the complex plane) and the small time asymptotics for the winding and for the radialprocess, and we explore the exit time from a cone for a 2-dimensional OU process.Some Limit Theorems concerning the angle of the cone (when our process winds in a cone) and the parameter $lambda$ are also presented.Furthermore, we discuss the decomposition of the winding process of a complex-valued OU process in "small" and "big" windings,where, for the "big" windings, we use some results already obtained by Bertoin and Werner in cite{BeW94},and we show that only the "small" windings contribute in the large time limit.Finally, we study the windings of a complex-valued OU process driven by a Stable processand we obtain similar results for its (well-defined) winding and radial process.

Full work available at URL: https://arxiv.org/abs/1209.4027

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zbMATH Keywords

stochastic differential equationslimit theoremssubordinationstable processesplanar Brownian motionSpitzer's theoremcomplex-valued Ornstein-Uhlenbeck processexit time from a conebig and small windingsBougerol's identity in lawisotropic Markov processesOrnstein-Uhlenbeck processes driven by a stable processradial and angular processskew-product representationwindingsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stable stochastic processes (60G52) Stochastic integrals (60H05)

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Cited In (7)

• On Hitting Times of the Winding Processes of Planar Brownian Motion and of Ornstein--Uhlenbeck Processes via Bougerol's identity
• The winding of stationary Gaussian processes
• Winding of a Brownian particle around a point vortex
• On limit theorems related to a class of ``winding-type additive functionals of complex Brownian motion
• System of complex Brownian motions associated with the O'Connell process
• Dynamics of gamma bursts in local field potentials
• Stable windings at the origin

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