Stable windings at the origin

Andreas E. Kyprianou and Stavros M. Vakeroudis

Stochastic Processes and their Applications, 2018, vol. 128, issue 12, 4309-4325

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.

Keywords: Stable processes; Winding numbers; Self-similarity; Lamperti transform; Duality; Time change; Riesz–Bogdan–Żak transform; Upcrossings (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spa.2018.02.004

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