Abstract
A recent result of Takács (1995) gives explicitly the density of the time spent beforetabove a levelx≠ 0 by Brownian motion with drift. Takács' proof is by means of random walk approximations to Brownian motion, but in this paper we give two different proofs of this result by considerations involving only Brownian motion. We also give a reformulation of Takács' result which involves Brownian meanders, and an extension of Denisov's representation of Brownian motion in terms of two independent Brownian meanders.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
7 articles.
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