On a generalization of the arc-sine law

Lajos Takács

doi:10.1214/aoap/1034968240

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Home > Journals > Ann. Appl. Probab. > Volume 6 > Issue 3 > Article

August 1996 On a generalization of the arc-sine law

Lajos Takács

Ann. Appl. Probab. 6(3): 1035-1040 (August 1996). DOI: 10.1214/aoap/1034968240

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Abstract

This paper deals with the distribution function of the sojourn time of Brownian motion with drift. By some recent results of J. Akahori and A. Dassios this distribution function can be expressed in the form of a double integral. In this paper it is shown that the distribution function of the sojourn time can be expressed simply as a single integral. The result obtained is a generalization of the arc-sine law of Paul Lévy.