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Shi, Zhan

Windings of Brownian motion and random walks in the plane. (English) Zbl 0938.60073

Ann. Probab. 26, No. 1, 112-131 (1998).
Let \(\{Z(t)= X(t)+ iY(t), t\geq 0\}\) be a planar Brownian motion starting at \(z_0\neq 0\), \(\theta(t)\) be the total angle wounded by \(Z(t)\) around origin up to time \(t\). The author considers the a.s. asymptotic behaviour of the so-called “big windings” \(\theta_+(t)= \int^t_0 I_{\{|Z(u)|> 1\}}d\theta(u)\) and “small windings” \(\theta_-(t)= \int^t_0 I_{\{|Z(u)|< 1\}}d\theta(u).\) Both \(\limsup\) and \(\liminf\) behaviour of \(\theta_+(t)\), \(\theta_-(t)\) and \(\eta(t)= a\theta_+(t)+ b\theta_-(t)\), \((a,b)\in R^2\), are investigated, the integral test for \(\eta(t)\) is proved as well as Chung-type law of the iterated logarithm. The method of proofs is based on skew-producted representation of \(Z(t)\) and accurate estimates of the Brownian winding clocks. The analogous problems for a spherically symmetric random walk \(S\) in \(R^2\) are also studied via the strong invariance principle. It is proved that windings of \(S\) behaves asymptotically as \(\theta_+(t)\). Thus \(\limsup\) and \(\liminf\) versions of LIL are obtained.
Reviewer: N.M.Zinchenko (Kyïv)

Cited in 6 Documents

MSC:

60J65 Brownian motion
60G50 Sums of independent random variables; random walks
60F15 Strong limit theorems

Keywords:

planar Brownian motion; winding angle; law of the iterated logarithm; integral test; random walk; strong invariance principle
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\textit{Z. Shi}, Ann. Probab. 26, No. 1, 112--131 (1998; Zbl 0938.60073)
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