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

S. Vakeroudis (1) , Marc Yor (1)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

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.

Domaines: Probabilités [math.PR]

S. Vakeroudis, Marc Yor. Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion. Bernoulli, 2013, 19 (5A), pp.2000-20009. ⟨10.3150/12-BEJ438⟩. ⟨hal-00932772⟩