A Large Deviations Principle Related to the Strong Arc-Sine Law

Alain Rouault (), Marc Yor and Marguerite Zani ()
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Alain Rouault: LAMA, Université de Versailles
Marc Yor: Université Paris 6, Site Chevaleret
Marguerite Zani: Université des Sciences et Technologies de Lille U.F.R. de Mathématiques, Bât

Journal of Theoretical Probability, 2002, vol. 15, issue 3, 793-815

Abstract: Abstract We show a large deviations principle for the family of random variables $$\{ \frac{1}{t}\int_0^t 1 _{B_u } >0du\} $$ when t→+∞, where B=(B u ,u≥0) is a standard linear Brownian motion.

Keywords: Arc-sine law; large deviations; Ornstein–Uhlenbeck process (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1023/A:1016280117892

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