15 citations · 28 across the 9 of their papers we have counts for
11 papers
On Doney's striking factorization of the arc-sine law
Larbi Alili, Carine Bartholmé, Loïc Chaumont +3
R. Doney identifies a striking factorization of the arc-sine law in terms of the suprema of two independent stable processes of the same index by an elegant random walks approximat…
Windings of planar processes, Exponential Functionals and Asian options
Wissem Jedidi, Stavros Vakeroudis
Motivated by a common Mathematical Finance topic, we discuss the reciprocal of the exit time from a cone of planar Brownian motion which also corresponds to the exponential functio…
On the windings of complex-valued Ornstein-Uhlenbeck processes driven by a Brownian motion and by a Stable process
Stavros Vakeroudis
We deal with a complex-valued Ornstein-Uhlenbeck (OU) process with parameter starting from a point different from 0 and the way that it winds around the origin.The…
A scaling proof for Walsh's Brownian motion extended arc-sine law
Stavros Vakeroudis, Marc Yor
We present a new proof of the extended arc-sine law related to Walsh's Brownian motion, known also as Brownian spider. The main argument mimics the scaling property used previously…
Windings of planar stable processes
Ron A. Doney, Stavros Vakeroudis
Using a generalization of the skew-product representation of planar Brownian motion and the analogue of Spitzer's celebrated asymptotic Theorem for stable processes due to Bertoin…
Some infinite divisibility properties of the reciprocal of planar Brownian motion exit time from a cone
Stavros Vakeroudis, Marc Yor
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 exi…
Bougerol's identity in law and extensions
Stavros Vakeroudis
We present a list of equivalent expressions and extensions of Bougerol's celebrated identity in law, obtained by several authors. We recall well-known results and the latest progre…
Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion
Stavros Vakeroudis, Marc Yor
We obtain some integrability properties and some limit theorems for the exit time from a cone of a planar Brownian motion, and we check that our computations are correct via Bouger…
A Central Limit Theorem for a sequence of Brownian motions in the unit sphere in Rn
Stavros Vakeroudis, Marc Yor
We use a Stochastic Differential Equation satisfied by Brownian motion taking values in the unit sphere and we obtain a Central Limit Theorem for a seq…
The Mean First Rotation Time of a planar polymer
Stavros Vakeroudis, Marc Yor, David Holcman
We estimate the mean first time, called the mean rotation time (MRT), for a planar random polymer to wind around a point. This polymer is modeled as a collection of n rods, each of…
On hitting times of the winding processes of planar Brownian motion and of Ornstein-Uhlenbeck processes, via Bougerol's identity
Stavros Vakeroudis
Some identities in law in terms of planar complex valued Ornstein-Uhlenbeck processes including planar Brownian motion are established and shown to be…