Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion (Q2435231)

The integrability of negative moments of the exit time of the winding process of a planar Brownian motion from a cone is established. A necessary and sufficient conditions for integrability of its positive moments is also established. Limit theorems for this exit time are proved for the shrinking/expanding cone limits, along with some generalizations. Finally, Bougerol's identity is used in order to characterize the distribution of the exit time in terms of a certain Laplace transform.