Sparre Andersen identity and the last passage time

DOI10.1017/JPR.2016.24zbMATH Open1344.60047arXiv1501.04542OpenAlexW2964298020MaRDI QIDQ3188591FDOQ3188591

Authors: Jevgenijs Ivanovs 

Publication date: 11 August 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Abstract: It is shown that the celebrated result of Sparre Andersen for random walks and L'evy processes has intriguing consequences when the last time of the process in $(-infty,0]$, say $sigma$, is added to the picture. In the case of no positive jumps this leads to six random times, all of which have the same distribution - the uniform distribution on $[0,sigma]$. Surprisingly, this result does not appear in the literature, even though it is based on some classical observations concerning exchangeable increments.

Full work available at URL: https://arxiv.org/abs/1501.04542

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zbMATH Keywords

random walkstime reversallast passage timeexchangeable incrementsuniform lawLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Exchangeability for stochastic processes (60G09)

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Cited In (3)

• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
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