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.
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页码：2000 / 2009
页数：10
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