An identity in law involving reflecting Brownian motion, derived from generalized arc-sine laws for perturbed Brownian motions (Q1593606): Difference between revisions

Let \(B\) be a real Wiener process starting from 0, \(l_t\) its local time at 0, and let \(l_t^\mu\) be the local time at 0 of the process \(X_t= |B_t|-\mu l_t\). Define \[ \alpha(u)= \inf\left\{ t>0;\int^t_0 \mathbf{1}_{\{X_s\leq 0\}} ds>u\right\}. \] Theorem 1 of the paper states that \(|B_{ \alpha(u)}|+{1\over 2}l^\mu_{\alpha(u)}\) has the same law as \(R_u^{(\delta (\mu))}\) for every \(u>0\), where \(\delta(\mu)= 1+\mu^{-1}\) and \(R^{(\delta)}\) denotes the \(\delta\)-dimensional Bessel process starting from 0. Further, let \(Y\) be the solution to \(Y_t=\beta_t +(2-\delta (\mu))S_t +{1\over 2}L_t\), where \(\beta\) is a standard Wiener process, \(S_t=\sup_{s\leq t}Y_s\), and \(L_t\) is the semimartingale local time of \(Y\) at 0. Set \(Z_u=S_u-Y_u +{1\over 2} L_u\), \(R_u= R_u^{(\delta(\mu))}\), and \(H_u={1\over 2}\int^u_0 R_r^{-1}dr\). In Theorem 2 it is proven that for each fixed \(u\geq 0\), \((S_u,Z_u)\) equals in law to \((H_u, R_u)\).