Some infinite divisibility properties of the reciprocal of planar Brownian motion exit time from a cone. (English) Zbl 1259.60097

Vakeroudis, Stavros; Yor, Marc

Electron. Commun. Probab. 17, Paper No. 23, 9 p. (2012).

Summary: With the help of the Gauss-Laplace transform for the exit time of the planar Brownian motion from a cone, we obtain some infinite divisibility properties for the reciprocal of this exit time.

MSC:

60J65	Brownian motion
60E07	Infinitely divisible distributions; stable distributions

Keywords:

Bougerol’s identity; infinite divisibility; Chebyshev polynomials; Lévy measure; Thorin measure; generalized gamma convolution (GGC)