Windings of the stable Kolmogorov process

Profeta, Christophe; Simon, Thomas

Document type :

Compte-rendu et recension critique d'ouvrage

Title :

Windings of the stable Kolmogorov process

Author(s) :

Profeta, Christophe [Auteur]
Laboratoire de Mathématiques et Modélisation d'Evry [LaMME]
Simon, Thomas [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Laboratoire de Physique Théorique et Modèles Statistiques [LPTMS]

Journal title :

ALEA : Latin American Journal of Probability and Mathematical Statistics

Pages :

115-127

Publisher :

Instituto Nacional de Matemática Pura e Aplicada (Rio de Janeiro, Brasil) [2006-....]

Publication date :

2015

ISSN :

1980-0436

English keyword(s) :

Integrated process
Harmonic measure
Hitting time
Stable Lévy process
Winding

HAL domain(s) :

Mathématiques [math]/Probabilités [math.PR]

English abstract : [en]

We investigate the windings around the origin of the two-dimensional Markov process (X,L) having the stable Lévy process L and its primitive X as coordinates, in the non-trivial case when |L| is not a subordinator. First, ...
Show more >We investigate the windings around the origin of the two-dimensional Markov process (X,L) having the stable Lévy process L and its primitive X as coordinates, in the non-trivial case when |L| is not a subordinator. First, we show that these windings have an almost sure limit velocity, extending McKean's result [McK63] in the Brownian case. Second, we evaluate precisely the upper tails of the distribution of the half-winding times, connecting the results of our recent papers [CP14, PS14].Show less >

Language :

Anglais

Popular science :

Non

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