Windings of planar stable processes

DOI10.1007/978-3-319-00321-4_10zbMATH Open1290.60053arXiv1203.3739OpenAlexW1860810109MaRDI QIDQ2865110FDOQ2865110

Authors: Ronald A. Doney, Stavros Vakeroudis 

Publication date: 28 November 2013

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

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.

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

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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)

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Cited In (9)

• The winding of stationary Gaussian processes
• On the windings of complex-valued Ornstein-Uhlenbeck processes driven by a Brownian motion and by a stable process
• Winding of planar Gaussian processes
• Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion
• A lifetime of excursions through random walks and Lévy processes
• Stable windings at the origin
• Windings of planar processes, exponential functionals and Asian options
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• Windings of the stable Kolmogorov process

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