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Stable windings at the origin

Author

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  • Kyprianou, Andreas E.
  • Vakeroudis, Stavros M.

Abstract

In 1996, Bertoin and Werner demonstrated a functional limit theorem, characterising the windings of planar isotropic stable processes around the origin for large times, thereby complementing known results for planar Brownian motion. The question of windings at small times can be handled using scaling. Nonetheless we examine the case of windings at the origin using new techniques from the theory of self-similar Markov processes. This allows us to understand upcrossings of (not necessarily symmetric) stable processes over the origin for large and small times in the one-dimensional setting.

Suggested Citation

  • Kyprianou, Andreas E. & Vakeroudis, Stavros M., 2018. "Stable windings at the origin," Stochastic Processes and their Applications, Elsevier, vol. 128(12), pages 4309-4325.
    • Handle: RePEc:eee:spapps:v:128:y:2018:i:12:p:4309-4325
    DOI: 10.1016/j.spa.2018.02.004
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    References listed on IDEAS

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