Remarks on the density of the law of the occupation time for Bessel bridges and stable excursions

DOI10.1016/J.SPL.2008.02.006zbMATH Open1283.60105arXiv0706.3162OpenAlexW1988540296WikidataQ58331061 ScholiaQ58331061MaRDI QIDQ730730FDOQ730730

Authors: Kouji Yano, Yuko Yano 

Publication date: 30 September 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Smoothness and asymptotic behaviors are studied for the densities of the law of the occupation time on the positive line for Bessel bridges and the normalized excursion of strictly stable processes. The key role is played by these properties for functions defined by Riemann--Liouville fractional integrals.

Full work available at URL: https://arxiv.org/abs/0706.3162

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Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Fractional derivatives and integrals (26A33) Local time and additive functionals (60J55)

Cites Work

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• An Occupation Time Theorem for A Class of Stochastic Processes
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• Occupation time distributions for Lévy bridges and excursions
• On the arc-sine laws for Lévy processes
• On a generalized arc-sine law for one-dimensional diffusion processes
• Functional limit theorems for occupation times of Lamperti's stochastic processes in discrete time
• A density formula for the law of time spent on the positive side of one-dimensional diffusion processes
• On the occupation time on the half line of pinned diffusion processes

Cited In (6)

• On simulation and properties of the stable law
• Excursions away from a regular point for one-dimensional symmetric Lévy processes without Gaussian part
• Lamperti-type laws
• Two-time correlation and occupation time for the Brownian bridge and tied-down renewal processes
• Distributional properties of means of random probability measures
• Occupation times and Bessel densities

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