Some infinite divisibility properties of the reciprocal of planar Brownian motion exit time from a cone
Stavros Vakeroudis, Marc Yor
TL;DR
This paper explores the mathematical properties of the reciprocal of the exit time of planar Brownian motion from a cone, revealing infinite divisibility characteristics using the Gauss-Laplace transform.
Contribution
It introduces new infinite divisibility properties of the reciprocal exit time of planar Brownian motion from a cone, derived via the Gauss-Laplace transform method.
Findings
Reciprocal of exit time exhibits infinite divisibility.
Gauss-Laplace transform is used to analyze exit time properties.
New mathematical properties of Brownian motion exit times are established.
Abstract
With the help of the Gauss-Laplace transform for the exit time from a cone of planar Brownian motion, we obtain some infinite divisibility properties for the reciprocal of this exit time.
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Taxonomy
Topicsstochastic dynamics and bifurcation · Stochastic processes and financial applications · Advanced Queuing Theory Analysis