On a formula of Takács for Brownian motion with drift

DOI10.1239/jap/1032192846zbMath0914.60044OpenAlexW2067451065MaRDI QIDQ4215675

Marc Yor, Ronald Arthur Doney

Publication date: 20 June 1999

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

Full work available at URL: https://doi.org/10.1239/jap/1032192846

zbMATH Keywords

arc-sine law for the occupation timesrandom-walk approximations

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov processes (60J99)

Related Items (7)

A note on the α-quantile option ⋮ Estimating the counterparty risk exposure by using the Brownian motion local time ⋮ Small drift limit theorems for random walks ⋮ Optimal investment strategy to minimize occupation time ⋮ Critical epidemics, random graphs, and Brownian motion with a parabolic drift ⋮ A lifetime of excursions through random walks and Lévy processes ⋮ Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options

This page was built for publication: On a formula of Takács for Brownian motion with drift