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arXiv · 1905.12128

On Doney's striking factorization of the arc-sine law

Larbi Alili·Carine Bartholmé·Loïc Chaumont·Pierre Patie·Mladen Savov·Stavros Vakeroudis
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Abstract

R. Doney identifies a striking factorization of the arc-sine law in terms of the suprema of two independent stable processes of the same index by an elegant random walks approximation. In this paper, we provide an alternative proof and a generalization of this factorization based on the theory recently developed for the exponential functional of L\'evy processes. As a by-product, we provide some interesting distributional properties for these variables and also some new examples of the factorization of the arc-sine law.

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Larbi Alili, Carine Bartholmé, Loïc Chaumont, Pierre Patie, Mladen Savov, Stavros Vakeroudis. 2019-05-28. On Doney's striking factorization of the arc-sine law. https://arxiv.org/abs/1905.12128

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