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Beta variables as times spent in \([0, \infty[\) by certain perturbed Brownian motions. (English) Zbl 0924.60067

J. Lond. Math. Soc., II. Ser. 58, No. 1, 239-256 (1998).

We show that the time spent in \([0, +\infty)\) by certain processes \(Y\) which are defined by perturbations of Brownian motion involving reflection at maxima and minima, are beta distributed. This result relies heavily on Ray-Knight theorems for such perturbed Brownian motions.

Reviewer: F.Petit (Paris VI)

Cited in 26 Documents

MSC:

60J60	Diffusion processes
60J99	Markov processes

Keywords:

perturbations of Brownian motion; Ray-Knight theorems

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