Windings of planar stable processes

DOI10.1007/978-3-319-00321-4_10MaRDI QIDQ2865110zbMATH OpenOpenAlexFDO

Authors Ronald A. Doney, Stavros Vakeroudis

Publication date 28 November 2013

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.3739

zbMATH Keywords

stable processesplanar Brownian motionSpitzer's theoremLamperti's relationexit time from a coneskew-product representationwindingslaw of iterated logarithm (LIL) for small timesLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Brownian motion (60J65) Stable stochastic processes (60G52)

Abstract: Using a generalization of the skew-product representation of planar Brownian motion and the analogue of Spitzer's celebrated asymptotic Theorem for stable processes due to Bertoin and Werner, for which we provide a new easy proof, we obtain some limit Theorems for the exit time from a cone of stable processes of index $alphain(0,2)$. We also study the case $tightarrow0$ and we prove some Laws of the Iterated Logarithm (LIL) for the (well-defined) winding process associated to our planar stable process.

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Cited in

(9)

• Windings of the stable Kolmogorov process
• The winding of stationary Gaussian processes
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