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arXiv:1201.2716 [math.PR]AbstractReferencesReviewsResources

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

Stavros Vakeroudis, Marc Yor

Published 2012-01-13, updated 2013-12-11Version 2

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.

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)
Journal: Bernoulli 2013, Vol. 19, No. 5A, 2000-2009
Categories: math.PR, math.ST, stat.TH
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