This paper deals with the distribution function of the sojourn time
of Brownian motion with drift. By some recent results of J. Akahori and A.
Dassios this distribution function can be expressed in the form of a double
integral. In this paper it is shown that the distribution function of the
sojourn time can be expressed simply as a single integral. The result obtained
is a generalization of the arc-sine law of Paul Lévy.
Publié le : 1996-08-14
Classification:
Random walk,
Brownian motion,
sojourn time,
distribution function,
60J15,
60J55,
60J65
@article{1034968240,
author = {Tak\'acs, Lajos},
title = {On a generalization of the arc-sine law},
journal = {Ann. Appl. Probab.},
volume = {6},
number = {1},
year = {1996},
pages = { 1035-1040},
language = {en},
url = {http://dml.mathdoc.fr/item/1034968240}
}
Takács, Lajos. On a generalization of the arc-sine law. Ann. Appl. Probab., Tome 6 (1996) no. 1, pp. 1035-1040. http://gdmltest.u-ga.fr/item/1034968240/