Integrability properties and Limit Theorems for the exit time from a cone of planar Brownian motion

Stavros Vakeroudis (1, 2, 3) , Marc Yor (1, 4)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
2 ENS-PSL - École normale supérieure - Paris
3 School of Mathematics - Department of Mathematics [Manchester]
4 IUF - Institut universitaire de France

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.

Mots clés: Bougerol's identity; planar Brownian motion; skew-product representation; exit time from a cone

Domaines: Probabilités [math.PR]

Stavros Vakeroudis, Marc Yor. Integrability properties and Limit Theorems for the exit time from a cone of planar Brownian motion. 2011. ⟨hal-00654695⟩