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

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

2010-03-25

arxiv.org/abs/1003.5009v1

Mathematics

Probability

44 pages

Scientific paper

Let $(S_k)_{k\ge 1}$ be the classical Bernoulli random walk on the integer line with jump parameters $p\in(0,1)$ and $q=1-p$. 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 ($p=q=1/2$) is considered. This is the discrete counterpart to the famous Paul L\'evy's arcsine law for Brownian motion.

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