Bernoulli

  • Bernoulli
  • Volume 19, Number 5A (2013), 2000-2009.

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

Stavros Vakeroudis and Marc Yor

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Abstract

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.

Article information

Source
Bernoulli Volume 19, Number 5A (2013), 2000-2009.

Dates
First available in Project Euclid: 5 November 2013

Permanent link to this document
https://projecteuclid.org/euclid.bj/1383661211

Digital Object Identifier
doi:10.3150/12-BEJ438

Mathematical Reviews number (MathSciNet)
MR3127946

Zentralblatt MATH identifier
1294.60103

Keywords
Bougerol’s identity exit time from a cone planar Brownian motion skew-product representation

Citation

Vakeroudis, Stavros; Yor, Marc. Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion. Bernoulli 19 (2013), no. 5A, 2000--2009. doi:10.3150/12-BEJ438. https://projecteuclid.org/euclid.bj/1383661211


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References

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