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Winding numbers for 2-dimensional, positive recurrent diffusions (1994)

Geiger, J. ; Kersting, G.

Springer

Potential analysis 3 (1994), S. 189-201

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ISSN: 1572-929X

Keywords: 60J60 ; 60H05 ; 60F05 ; Diffusion process ; winding number ; asymptotic distribution ; Cauchy distribution

Source: Springer Online Journal Archives 1860-2000

Topics: Mathematics

Notes: Abstract A well-known theorem by Spitzer states that the winding number of a standard Brownian motion around the origin is asymptotically Cauchy-distributed. A similar result is derived for positive recurrent diffusions in the plane given by a non-degenerate stochastic equation.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF01053432

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