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

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.

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Year of publication:	1994
Authors:	Hochberg, Kenneth J. ; Orsingher, Enzo
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 52.1994, 2, p. 273-292
Publisher:	Elsevier
Keywords:	Arc-sine law Feynman-Kac functional Signed measures Complex measures Higher-order heat-type equations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874422