Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion

被引：5

作者：

Vakeroudis, Stavros ^{[1
,2
]}

Yor, Marc ^{[1
,3
]}

机构：

[1] Univ Paris 07, Univ Paris 06, CNRS, UMR7599,LPMA, F-75252 Paris 05, France

[2] Univ Manchester, Sch Math, Probabil & Stat Grp, Manchester M13 9PL, Lancs, England

[3] Inst Univ France, Paris, France

来源：

BERNOULLI | 2013年 / 19卷 / 5A期

关键词：

Bougerol's identity; exit time from a cone; planar Brownian motion; skew-product representation;

D O I：

10.3150/12-BEJ438

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We obtain some integrability properties and some limit theorems for the exit time from a cone of a planar Brownian motion, and we check that our computations are correct via Bougerol's identity.

引用

页码：2000 / 2009

页数：10