On Hitting Times of the Winding Processes of Planar Brownian Motion and of Ornstein--Uhlenbeck Processes via Bougerol's identity
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Publication:4925386
DOI10.1137/S0040585X97985546zbMath1273.60103arXiv1007.4648OpenAlexW2125016635MaRDI QIDQ4925386
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Publication date: 12 June 2013
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1007.4648
Ornstein-Uhlenbeck processplanar Brownian motionBougerol's identityexit time from a conewinding process
Related Items (9)
Stable windings at the origin ⋮ Winding number for stationary Gaussian processes using real variables ⋮ A central limit theorem for a sequence of Brownian motions in the unit sphere in \(\mathbb R^{n}\) ⋮ The mean first rotation time of a planar polymer ⋮ Bougerol's identity in law and extensions ⋮ Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion ⋮ On the windings of complex-valued Ornstein–Uhlenbeck processes driven by a Brownian motion and by a stable process ⋮ Windings of planar processes, exponential functionals and Asian options ⋮ Windings of Planar Stable Processes
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