In this paper we study the sojourn time on the positive half-line up to time t of a drifted Brownian motion with starting point u and subject to the condition that min0≤z≤lB(z)>v, with u>v. This process is a drifted Brownian meander up to time l and then evolves as a free Brownian motion. We also consider the sojourn time of a bridge-type process, where we add the additional condition to return to the initial level at the end of the time interval. We analyze the weak limit of the occupation functional as u↓v. We obtain explicit distributional results when the barrier is placed at the zero level, and also in the special case when the drift is null.

On the sojourn time of a generalized Brownian meander / Iafrate, F.; Orsingher, E.. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - 168:(2021), p. 108927. [10.1016/j.spl.2020.108927]

On the sojourn time of a generalized Brownian meander

Iafrate F.;Orsingher E.
2021

Abstract

In this paper we study the sojourn time on the positive half-line up to time t of a drifted Brownian motion with starting point u and subject to the condition that min0≤z≤lB(z)>v, with u>v. This process is a drifted Brownian meander up to time l and then evolves as a free Brownian motion. We also consider the sojourn time of a bridge-type process, where we add the additional condition to return to the initial level at the end of the time interval. We analyze the weak limit of the occupation functional as u↓v. We obtain explicit distributional results when the barrier is placed at the zero level, and also in the special case when the drift is null.
2021
Brownian excursion; Drifted Brownian meander; Elastic Brownian motion; Feynman–Kac functional; Tightness; Weak convergence
01 Pubblicazione su rivista::01a Articolo in rivista
On the sojourn time of a generalized Brownian meander / Iafrate, F.; Orsingher, E.. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - 168:(2021), p. 108927. [10.1016/j.spl.2020.108927]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1645533
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