Pierre Le Doussal1, Yoav Etzioni2 and Baruch Horovitz2
We consider a smooth, rotationally invariant, centered Gaussian process in the plane, with arbitrary correlation matrix Ctt'. We study the winding angle t, around its center. We obtain a closed formula for the variance of the winding angle as a function of the matrix Ctt'. For most stationary processes Ctt' = C(t−t') the winding angle exhibits diffusion at large time with diffusion coefficient . Correlations of exp(int) with integer n, the distribution of the angular velocity , and the variance of the algebraic area are also obtained. For smooth processes with stationary increments (random walks) the variance of the winding angle grows as , with proper generalizations to the various classes of fractional Brownian motion. These results are tested numerically. Non-integer n is studied numerically.
Received 9 April 2009 , accepted for publication 18 May 2009 Published 3 July 2009