English

Sojourn time in $\mathbb{Z}^+$ for the Bernoulli random walk on $\mathbb{Z}$

Probability 2013-02-05 v1

Abstract

Let (Sk)k1(S_k)_{k\ge 1} be the classical Bernoulli random walk on the integer line with jump parameters p(0,1)p\in(0,1) and q=1pq=1-p. 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 (p=q=1/2p=q=1/2) 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}
}

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44 pages