Sojourn time in $\mathbb{Z}^+$ for the Bernoulli random walk on $\mathbb{Z}$
Probability
2013-02-05 v1
Abstract
Let be the classical Bernoulli random walk on the integer line with jump parameters and . The probability distribution of the sojourn time of the walk in the set of non-negative integers up to a fixed time is well-known, but its expression is not simple. By modifying slightly this sojourn time--through a particular counting process of the zeros of the walk as done by Chung & Feller ["On fluctuations in coin-tossings", Proc. Nat. Acad. Sci. U.S.A. 35 (1949), 605-608]-, simpler representations may be obtained for its probability distribution. In the aforementioned article, only the symmetric case () is considered. This is the discrete counterpart to the famous Paul L\'evy's arcsine law for Brownian motion.
Keywords
Cite
@article{arxiv.1003.5009,
title = {Sojourn time in $\mathbb{Z}^+$ for the Bernoulli random walk on $\mathbb{Z}$},
author = {Aimé Lachal},
journal= {arXiv preprint arXiv:1003.5009},
year = {2013}
}
Comments
44 pages