The first exit time of a two-dimensional symmetric stable process from a wedge
Let \(T_{\theta}\) be the first exit time of a symmetric \(\alpha\) stable process \(X_ t\) in \({\mathbb{R}}^ 2\), with stationary, independent increments, from a wedge of angle \(2\theta\), \(0<\theta <\pi\). The author studies the distribution of \(T_{\theta}\). It is shown that there are constants \(p_{\theta,\alpha}>0\) such that for starting points x in the wedge, \[ E_ xT^ p_{\theta}<\infty \quad if\quad 0<p<p_{\theta,\alpha}\text{ and } E_ xT^ p_{\theta}=\infty \quad if\quad p>p_{\theta,\alpha}. \] The author employs here the representation of \textit{S. A. Molchanov} and \textit{E. Ostrovskij} [Theory Probab. Appl. 14, 128-131 (1969); translation from Teor. Veroyatn. Primen. 14, 127-130 (1969; Zbl 0238.60060)] and considers \(X_ t\) as a two-dimensional Brownian motion run with an independent clock described by the inverse local time of a Bessel process with parameter 2-\(\alpha\).
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