On Doney's striking factorization of the arc-sine law

DOI10.1007/978-3-030-83309-1_3MaRDI QIDQ2080140zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 7 October 2022

Full work available at URL https://arxiv.org/abs/1905.12128

zbMATH Keywords

arc-sine lawLévy processesMellin transformrecurrence equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Abstract: R. Doney identifies a striking factorization of the arc-sine law in terms of the suprema of two independent stable processes of the same index by an elegant random walks approximation. In this paper, we provide an alternative proof and a generalization of this factorization based on the theory recently developed for the exponential functional of L'evy processes. As a by-product, we provide some interesting distributional properties for these variables and also some new examples of the factorization of the arc-sine law.

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Cited in

(3)

• scientific article; zbMATH DE number 3878108 (Why is no real title available?)
• scientific article; zbMATH DE number 936376 (Why is no real title available?)
• Some properties of the arc-sine law related to its invariance under a family of rational maps

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