On an identity in law obtained by A. Földes and P. Révész

MaRDI QIDQ2368149zbMATH OpenFDO

Authors Marc Yor

Publication date 22 November 1993

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=AIHPB_1993__29_2_321_0, https://eudml.org/doc/77459

zbMATH Keywords

Brownian motionlocal time

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Local time and additive functionals (60J55) Brownian motion (60J65)

Review text

Let \(\{B_ t,\;t\geq 0\}\) be a Brownian motion and denote its local time at 0 by \(\{l_ t, t\geq 0\}\). Further let \(\{X_ t=| B_ t|-\mu l_ t,\;t\geq 0\}\). One of the main results of the paper claims that \[ \int^ 1_ 0dsI_{\{X_ s\leq 0\}}{\buildrel{\mathcal D}\over =}Z(1/2,\mu/2), \] where \(Z(a,b)\) is a Beta-variable with parameters \(a\) and \(b\).

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Cited in

(7)

• Zero-one law for some Brownian functionals
• An identity in law involving reflecting Brownian motion, derived from generalized arc-sine laws for perturbed Brownian motions
• Bougerol's identity in law and extensions
• A pathwise interpretation of the Gorin-Shkolnikov identity
• Some eigenvalue identities for Brownian motion
• Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions
• scientific article; zbMATH DE number 926741 (Why is no real title available?)

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