Angular processes related to Cauchy random walks

Details Angular processes related to Cauchy random walks Angular processes related to Cauchy random walks

2011-07-25

arxiv.org/abs/1107.4910v1

Theor. Probability Appl., 55, no 3, 489--506 (2010)

Mathematics

Probability

Scientific paper

We study the angular process related to random walks in the Euclidean and in the non-Euclidean space where steps are Cauchy distributed. This leads to different types of non-linear transformations of Cauchy random variables which preserve the Cauchy density. We give the explicit form of these distributions for all combinations of the scale and the location parameters. Continued fractions involving Cauchy random variables are analyzed. It is shown that the $n$-stage random variables are still Cauchy distributed with parameters related to Fibonacci numbers. This permits us to show the convergence in distribution of the sequence to the golden ratio.

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