An Arc-Sine Law for Last Hitting Points in the Two-Parameter Wiener Space

초록

We develop the two-parameter version of an arc-sine law for a last hitting time. The existing arc-sine laws are about a stochastic process X-t with one parameter t. If there is another varying key factor of an event described by a process, then we need to consider another parameter besides t. That is, we need a system of random variables with two parameters, say X-s,X-t, which is far more complex than one-parameter processes. In this paper we challenge to develop such an idea, and provide the two-parameter version of an arc-sine law for a last hitting time. An arc-sine law for a two-parameter process is hardly found in literature. We use the properties of the two-parameter Wiener process for our development. Our result shows that the probability of last hitting points in the two-parameter Wiener space turns out to be arcsine-distributed. One can use our results to predict an event happened in a system of random variables with two parameters, which is not available among existing arc-sine laws for one parameter processes.

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