Article Dans Une Revue ALEA : Latin American Journal of Probability and Mathematical Statistics Année : 2015

Windings of the stable Kolmogorov process

Résumé

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].

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hal-01018922 , version 1 (06-07-2014)

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Christophe Profeta, Thomas Simon. Windings of the stable Kolmogorov process. ALEA : Latin American Journal of Probability and Mathematical Statistics, 2015, XII, pp.115-127. ⟨hal-01018922⟩
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