Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion
Probability
2013-12-12 v2 Statistics Theory
Statistics Theory
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.
Keywords
Cite
@article{arxiv.1201.2716,
title = {Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion},
author = {Stavros Vakeroudis and Marc Yor},
journal= {arXiv preprint arXiv:1201.2716},
year = {2013}
}
Comments
Published in at http://dx.doi.org/10.3150/12-BEJ438 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)