2 papers
math.PR2019
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…
math.PR2016
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…