Some extensions of the arc sine law as partial consequences of the scaling property of Brownian motion
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Publication:1336263
DOI10.1007/BF01204951zbMath0808.60066OpenAlexW2073617217MaRDI QIDQ1336263
Marc Yor, Frédérique Petit, Philippe Carmona
Publication date: 12 March 1995
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01204951
Related Items (20)
Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero ⋮ Some calculations for doubly perturbed Brownian motion ⋮ The arc-sine law and its analogs for processes governed by signed and complex measures ⋮ Transportation inequalities for doubly perturbed stochastic differential equations with Markovian switching ⋮ Perturbed uncertain differential equations and perturbed reflected canonical process ⋮ An infinite-dimensional representation of the Ray-Knight theorems ⋮ Diffusions on a space of interval partitions: the two-parameter model ⋮ On certain discounted arc-sine laws ⋮ Weak limits of perturbed random walks and the equation \(Y_ t = B_ t+\alpha\sup\{Y_ s:s \leq t\} + \beta\inf\{Y_ s:s\leq t\}\) ⋮ Squared Bessel processes of positive and negative dimension embedded in Brownian local times ⋮ Brownian analogues of Burke's theorem. ⋮ Large deviations for perturbed reflected diffusion processes ⋮ Doubly perturbed neutral diffusion processes with Markovian switching and Poisson jumps ⋮ Asymptotics of first-passage time over a one-sided stochastic boundary ⋮ Doubly perturbed jump-diffusion processes ⋮ The SDE solved by local times of a Brownian excursion or bridge derived from the height profile of a random tree or forest ⋮ An excursion approach to Ray-Knight theorems for perturbed Brownian motion ⋮ Path decompositions of perturbed reflecting Brownian motions ⋮ Random Brownian scaling identities and splicing of Bessel processes ⋮ An identity in law involving reflecting Brownian motion, derived from generalized arc-sine laws for perturbed Brownian motions
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