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Stable windings at the origin
Authors:Andreas E. Kyprianou  Stavros M. Vakeroudis
Affiliation:1. Department of Mathematical Sciences, University of Bath, Claverton Down, Bath, BA2 7AY, UK;2. Department of Mathematics, Track: Statistics and Actuarial-Financial Mathematics, University of the Aegean, 83200 Karlovasi, Samos, Greece
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:primary  60J30  60G18  secondary  60J15  Stable processes  Winding numbers  Self-similarity  Lamperti transform  Duality  Time change  Riesz–Bogdan–?ak transform  Upcrossings
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