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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.
Original language | English |
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Pages (from-to) | 4309-4325 |
Number of pages | 17 |
Journal | Stochastic Processes and their Applications |
Volume | 128 |
Issue number | 12 |
Early online date | 19 Feb 2018 |
DOIs | |
Publication status | Published - 1 Dec 2018 |
Keywords
- Duality
- Lamperti transform
- Riesz–Bogdan–Żak transform
- Self-similarity
- Stable processes
- Time change
- Upcrossings
- Winding numbers
ASJC Scopus subject areas
- Statistics and Probability
- Modelling and Simulation
- Applied Mathematics
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Dive into the research topics of 'Stable windings at the origin'. Together they form a unique fingerprint.Projects
- 1 Finished
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Real-Valued Self-Similar Markov Processes and their Applications
Kyprianou, A. (PI)
Engineering and Physical Sciences Research Council
2/06/14 → 1/10/17
Project: Research council