English

Studying the winding number for stationary Gaussian processes using real variables

Probability 2021-12-16 v2

Abstract

We consider the winding number of planar stationary Gaussian processes defined on the line. Under mild conditions, we obtain the asymptotic variance and the Central Limit Theorem for the winding number as the time horizon tends to infinity. In the asymptotic regime, our discrete approach is equivalent to the continuous one studied previously in the literature and our main result extends the existing ones. Our model allows for a general dependence of the coordinates of the process and non-differentiability of one of them. Furthermore, beyond our general framework, we consider as examples an approximation to the winding number of a process whose coordinates are both non-differentiable and the winding number of a process which is not exactly stationary.

Keywords

Cite

@article{arxiv.2004.10333,
  title  = {Studying the winding number for stationary Gaussian processes using real variables},
  author = {Jean-Marc Azaïs and Federico Dalmao and José R. León},
  journal= {arXiv preprint arXiv:2004.10333},
  year   = {2021}
}

Comments

29 pages

R2 v1 2026-06-23T15:00:54.962Z