The arc-sine law and its analogs for processes governed by signed and complex measures

Kenneth J. Hochberg and Enzo Orsingher

Stochastic Processes and their Applications, 1994, vol. 52, issue 2, 273-292

Abstract: The question whether the classical arc-sine law of Paul Lévy for the proportion of time spent by a Brownian particle on the positive half-line can be extended to generalized higher-order processes governed by signed and complex measures is studied. Both even and odd-order processes are considered, corresponding to heat-type equations with both real and imaginary coefficients. Finally, several mixtures of the earlier cases are analyzed as well.

Keywords: Arc-sine; law; Feynman-Kac; functional; Signed; measures; Complex; measures; Higher-order; heat-type; equations (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (9)

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