Some infinite divisibility properties of the reciprocal of planar Brownian motion exit time from a cone

DOI10.1214/ECP.V17-2090MaRDI QIDQ428754zbMATHOpenAlexFDO

Authors Stavros Vakeroudis, Marc Yor

Publication date 22 June 2012

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.2718

zbMATH Keywords

infinite divisibilityChebyshev polynomialsBougerol's identitygeneralized gamma convolution (GGC)Thorin measureLévy measure

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Brownian motion (60J65)

Abstract: With the help of the Gauss-Laplace transform for the exit time from a cone of planar Brownian motion, we obtain some infinite divisibility properties for the reciprocal of this exit time.

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(5)

• Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion
• Windings of planar stable processes
• First hitting time of the boundary of a wedge of angle \(\pi/4\) by a radial Dunkl process
• Bougerol's identity in law and extensions
• Windings of planar processes, exponential functionals and Asian options

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