Electronic Communications in Probability

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

Stavros Vakeroudis and Marc Yor

Full-text: Open access

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.

Article information

Source
Electron. Commun. Probab., Volume 17 (2012), paper no. 23, 9 pp.

Dates
Accepted: 16 June 2012
First available in Project Euclid: 7 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465263156

Digital Object Identifier
doi:10.1214/ECP.v17-2090

Mathematical Reviews number (MathSciNet)
MR2950189

Zentralblatt MATH identifier
1259.60097

Subjects
Primary: 60J65: Brownian motion [See also 58J65]
Secondary: 60E07: Infinitely divisible distributions; stable distributions

Keywords
Bougerol's identity infinite divisibility Chebyshev polynomials L\'{e}vy measure Thorin measure generalized Gamma convolution (GGC)

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Vakeroudis, Stavros; Yor, Marc. Some infinite divisibility properties of the reciprocal of planar Brownian motion exit time from a cone. Electron. Commun. Probab. 17 (2012), paper no. 23, 9 pp. doi:10.1214/ECP.v17-2090. https://projecteuclid.org/euclid.ecp/1465263156


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References

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