On the sojourn time of a generalized Brownian meander

DOI10.1016/J.SPL.2020.108927MaRDI QIDQ826669zbMATH OpenOpenAlexFDO

Authors F. Iafrate, Enzo Orsingher

Publication date 6 January 2021

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

Full work available at URL https://arxiv.org/abs/1909.13569

zbMATH Keywords

Brownian excursiondrifted Brownian meanderelastic Brownian motionFeynman-Kac functionaltightnessweak convergence

Mathematics Subject Classification ID

Brownian motion (60J65)

Abstract: In this paper we study the sojourn time on the positive half-line up to time $t$ of a drifted Brownian motion with starting point $u$ and subject to the condition that $mi{n}_{0leqzleql}B(z)>v$, with $u>v$. This process is a drifted Brownian meander up to time $l$ and then evolves as a free Brownian motion. We also consider the sojourn time of a bridge-type process, where we add the additional condition to return to the initial level at the end of the time interval. We analyze the weak limit of the occupation functional as $udownarrowv$. We obtain explicit distributional results when the barrier is placed at the zero level, and also in the special case when the drift is null.

Recommendations

• Some results on the Brownian meander with drift
• On explicit occupation time distributions for Brownian processes
• Brownian motion conditioned to spend limited time below a barrier
• The distribution of the sojourn time for the Brownian excursion
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Cites work

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Cited in

(8)

• How the sojourn time distributions of Brownian motion are affected by different forms of conditioning.
• On explicit occupation time distributions for Brownian processes
• The distribution of the sojourn time for the Brownian excursion
• Some results on the Brownian meander with drift
• Brownian motion conditioned to spend limited time below a barrier
• Sojourn time of some reflected Brownian motion in the unit disk
• Elastic drifted Brownian motions and non-local boundary conditions
• On the sojourn time of the Brownian process in a multidimensional sphere

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