Windings of Random Walks
Belisle, Claude
Ann. Probab., Tome 17 (1989) no. 4, p. 1377-1402 / Harvested from Project Euclid
Let $X_1, X_2, X_3, \ldots$ be a sequence of iid $\mathbb{R}^2$-valued bounded random variables with mean vector zero and covariance matrix identity. Let $S = (S_n; n \geq 0)$ be the random walk defined by $S_n = \sum^n_{i = 1} X_i$. Let $\phi(n)$ be the winding of $S$ at time $n$, that is, the total angle wound by $S$ around the origin up to time $n$. Under a mild regularity condition on the distribution of $X_1$, we show that $2\phi(n)/\log n \rightarrow_d W$ where $\rightarrow_d$ denotes convergence in distribution and where $W$ has density $(1/2)\operatorname{sech}(\pi w/2)$.
Publié le : 1989-10-14
Classification:  Random walks,  Brownian motion,  windings,  weak and strong invariance principle,  asymptotic distributions,  60F05,  60J65,  60F15,  60F17
@article{1176991160,
     author = {Belisle, Claude},
     title = {Windings of Random Walks},
     journal = {Ann. Probab.},
     volume = {17},
     number = {4},
     year = {1989},
     pages = { 1377-1402},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176991160}
}
Belisle, Claude. Windings of Random Walks. Ann. Probab., Tome 17 (1989) no. 4, pp.  1377-1402. http://gdmltest.u-ga.fr/item/1176991160/