Arcsine Law Research Articles

Monotone and boolean unitary Brownian motions

The additive monotone (respectively boolean) unitary Brownian motion is a non-commutative stochastic process with monotone (respectively boolean) independent and stationary increments which are distributed according to the arcsine law (respectively Bernoulli law). We introduce the monotone and boolean unitary Brownian motions and derive a closed formula for their associated moments. This provides a description of their spectral measures. We prove that, in the monotone case, the multiplicative analog of the arcsine distribution is absolutely continuous with respect to the Haar measure on the unit circle, whereas in the boolean case the multiplicative analog of the Bernoulli distribution is discrete. Finally, we use quantum stochastic calculus to provide a realization of these processes as the stochastic exponential of the correspending additive Brownian motions.

The economic default time and the arcsine law

This paper proposes a new mathematical notion of "economic default" and develops a structural credit risk model to characterize the difference between the economic and recorded default times for a firm. Recorded default occurs when default is recorded in the legal system. The economic default time is the last time when the firm is able to pay off its debt prior to the recorded default time. This work is motivated by the empirical study of Guo et al. (2008) which supports the distinction between the two default times. The probability distribution for the time span between economic and recorded defaults is analyzed, and is shown to follow a mixture of arcsine laws when the firm's asset value process is modeled by a geometric Brownian motion.

Convergence of Distribution of the Sojourn Time of a Random Walk on a Half-Axis

We generalize the known arcsine law for distribution of the sojourn time of a random walk on a half-axis. Under the Cram’er conditions, we obtain an asymptotic representation of the generating function of the time of sojourn above an increasing level in the case of a random walk with negative drift.

The Selberg–Delange method in short intervals with an application

In this paper, we establish a general mean value result of arithmetic functions over short intervals with the Selberg-Delange method. As an application, we generalize the Deshouillers-Dress-Tenenbaum's arcsin law on divisors to the short interval case.

Occupation times on a comb with ramified teeth

We investigate occupation time statistics for random walks on a comb with ramified teeth. This is achieved through the relation between the occupation time and the first passage times. Statistics of occupation times in half space follows Lamperti's distribution, i.e., the generalized arcsine law holds. Transitions between different behaviors are observed, which are controlled by the size of the backbone and teeth of the comb, as well as bias. Occupation time on a nonsimply connected domain is analyzed with a mean-field theory and numerical simulations. In that case, the generalized arcsine law is not valid.

The one dimensional free Poincaré inequality

In this paper we discuss the natural candidate for the one dimensional free Poincaré inequality. Two main strong points sustain this candidacy. One is the random matrix heuristic and the other the relations with the other free functional inequalities, namely, the free transportation and Log-Sobolev inequalities. As in the classical case the Poincaré is implied by the others. This investigation is driven by a nice lemma of Haagerup which relates logarithmic potentials and Chebyshev polynomials. The Poincaré inequality revolves around the counting number operator for the Chebyshev polynomials of the first kind with respect to the arcsine law on [ − 2 , 2 ] [-2,2] . This counting number operator appears naturally in a representation of the minimum of the logarithmic energy with external fields discovered in Analyticity of the planar limit of a matrix model by S. Garoufalidis and the second author as well as in the perturbation of logarithmic energy with external fields, which is the essential connection between all these inequalities.

Convergence of clock processes in random environments and ageing in the $p$-spin SK model

We derive a general criterion for the convergence of clock processes in random dynamics in random environments that is applicable in cases when correlations are not negligible, extending recent results by Gayrard [(2010), (2011), forthcoming], based on general criterion for convergence of sums of dependent random variables due to Durrett and Resnick [Ann. Probab. 6 (1978) 829-846]. We demonstrate the power of this criterion by applying it to the case of random hopping time dynamics of the p-spin SK model. We prove that on a wide range of time scales, the clock process converges to a stable subordinator almost surely with respect to the environment. We also show that a time-time correlation function converges to the arcsine law for this subordinator, almost surely. This improves recent results of Ben Arous, Bovier and Cerny [Comm. Math. Phys. 282 (2008) 663-695] that obtained similar convergence results in law, with respect to the random environment.

Shooting randomly against a line in Euclidean and non-Euclidean spaces

In this paper we study a class of distributions related to the r.v. , for different distributions of . The problem is related to the hitting point of a randomly oriented ray and generalizes the Cauchy distribution in different directions. We show that the distribution of solves the Laplace equation of order , possesses even moments of order , and has bimodal structure when is uniform. We study also a number of distributional properties of functionals of , including those related to the arcsine law. Finally we study the same problem in the Poincaré half-plane and this leads to the hyperbolic distribution of which the main properties are explored. In particular we study the distribution of hyperbolic functions of , the law of sums of i.i.d. r.v.'s and the distribution of the area of random hyperbolic right triangles.

A NEW LOOK AT THE ARCSINE LAW AND "QUANTUM-CLASSICAL CORRESPONDENCE"

We prove that the arcsine law as the time-averaged distribution for classical harmonic oscillators emerges from the distributions for quantum harmonic oscillators in terms of noncommutative algebraic probability. This is nothing but a simple and rigorous realization of "Quantum-Classical Correspondence" for harmonic oscillators.

SPECIAL VALUES OF SOME EXTENSIONS OF ZETA FUNCTION VIA BETA DISTRIBUTIONS

In this paper, we show the Basel problem via the beta distributions, which include the free Poisson distribution and positive arcsine law. This is a generalization of Ref. 2 by Fujita. We also obtain special values of an extension of generalized Hurwitz–Lerch zeta function, which was introduced by Gang, Jain and Kalla.

Stochastic pulse switching in a degenerate resonant optical medium

Using the idealized integrable Maxwell-Bloch model, we describe random optical-pulse polarization switching along an active optical medium in the $\ensuremath{\Lambda}$ configuration with disordered occupation numbers of its lower-energy sublevel pair. The description combines complete integrability and stochastic dynamics. For the single-soliton pulse, we derive the statistics of the electric-field polarization ellipse at a given point along the medium in closed form. If the average initial population difference of the two lower sublevels vanishes, we show that the pulse polarization will switch intermittently between the two circular polarizations as it travels along the medium. If this difference does not vanish, the pulse will eventually forever remain in the circular polarization determined by which sublevel is more occupied on average. We also derive the exact expressions for the statistics of the polarization-switching dynamics, such as the probability distribution of the distance between two consecutive switches and the percentage of the distance along the medium the pulse spends in the elliptical polarization of a given orientation in the case of vanishing average initial population difference. We find that the latter distribution is given in terms of the well-known arc sine law.

Counting statistics: A Feynman-Kac perspective

By building upon a Feynman-Kac formalism, we assess the distribution of the number of collisions in a given region for a broad class of discrete-time random walks in absorbing and nonabsorbing media. We derive the evolution equation for the generating function of the number of collisions, and we complete our analysis by examining the moments of the distribution and their relation to the walker equilibrium density. Some significant applications are discussed in detail: in particular, we revisit the gambler's ruin problem and generalize to random walks with absorption the arcsine law for the number of collisions on the half-line.

Sojourn time in ℤ+for the Bernoulli random walk on ℤ

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.

A scaling proof for Walsh's Brownian motion extended arc-sine law.

We present a new proof of the extended arc-sine law related to Walsh's Brownian motion, known also as Brownian spider. The main argument mimics the scaling property used previously, in particular by D. Williams, in the 1- dimensional Brownian case, which can be generalized to the multivariate case. A discussion concerning the time spent positive by a skew Bessel process is also presented.

Operator renewal theory and mixing rates for dynamical systems with infinite measure

We develop a theory of operator renewal sequences in the context of infinite ergodic theory. For large classes of dynamical systems preserving an infinite measure, we determine the asymptotic behaviour of iterates $L^n$ of the transfer operator. This was previously an intractable problem. Examples of systems covered by our results include (i) parabolic rational maps of the complex plane and (ii) (not necessarily Markovian) nonuniformly expanding interval maps with indifferent fixed points. In addition, we give a particularly simple proof of pointwise dual ergodicity (asymptotic behaviour of $\sum_{j=1}^nL^j$) for the class of systems under consideration. In certain situations, including Pomeau-Manneville intermittency maps, we obtain higher order expansions for $L^n$ and rates of mixing. Also, we obtain error estimates in the associated Dynkin-Lamperti arcsine laws.

Occupation time distributions for the telegraph process

For the one-dimensional telegraph process, we obtain explicitly the distribution of the occupation time of the positive half-line. The long-term limiting distribution is then derived when the initial location of the process is in the range of subnormal or normal deviations from the origin; in the former case, the limit is given by the arcsine law. These limit theorems are also extended to the case of more general occupation-type functionals.

35 years of the Inverse Tangent Law

The distribution functions of the solutions of the systems of linear algebraic equations (SLAE) , in general, have a cumbersome form; the order of these systems in some practical problems is large, therefore, the asymptotic behavior of the solutions should be studied in increasing order n of the system to infinity. A general form of the limit theorems of solutions of the systems of linear algebraic equations with independent random coefficients and components , i, j 1, . . . , n , are given in this survey. By the tradition of choosing the names of laws in probability theory (Arcsine law, Law of iterated logarithm, etc.) we call the unusual behavior of the solutions of (SLAERC) as Inverse Tangent Law .

Bessel processes and hyperbolic Brownian motions stopped at different random times

Iterated Bessel processes R γ ( t ) , t > 0 , γ > 0 and their counterparts on hyperbolic spaces, i.e. hyperbolic Brownian motions B h p ( t ) , t > 0 are examined and their probability laws derived. The higher-order partial differential equations governing the distributions of I R ( t ) = R 1 γ 1 ( R 2 γ 2 ( t ) ) , t > 0 and J R ( t ) = R 1 γ 1 ( R 2 γ 2 ( t ) 2 ) , t > 0 are obtained and discussed. Processes of the form R γ ( T t ) , t > 0 , B h p ( T t ) , t > 0 where T t = inf { s ≥ 0 : B ( s ) = t } are examined and numerous probability laws derived, including the Student law, the arcsine laws (also their asymmetric versions), the Lamperti distribution of the ratio of independent positively skewed stable random variables and others. For the random variable R γ ( T t μ ) , t > 0 (where T t μ = inf { s ≥ 0 : B μ ( s ) = t } and B μ is a Brownian motion with drift μ ), the explicit probability law and the governing equation are obtained. For the hyperbolic Brownian motions on the Poincaré half-spaces H 2 + , H 3 + (of respective dimensions 2 , 3 ) we study B h p ( T t ) , t > 0 and the corresponding governing equation. Iterated processes are useful in modelling motions of particles on fractures idealized as Bessel processes (in Euclidean spaces) or as hyperbolic Brownian motions (in non-Euclidean spaces).

The Arcsine law as the limit of the internal DLA cluster generated by Sinai’s walk

We identify the limit of the internal DLA cluster generated by Sinai's walk as the law of a functional of a Brownian motion which turns out to be a new interpretation of the Arcsine law.

Aging and quenched localization for one-dimensional random walks in random environment in the sub-ballistic regime

We consider transient one-dimensional random walks in a random environment with zero asymptotic speed. An aging phenomenon involving the generalized Arcsine law is proved using the localization of the walk at the foot of “valleys“ of height logt. In the quenched setting, we also sharply estimate the distribution of the walk at time t.