Sparre-Andersen identity: there is more to it
Jevgeņijs Ivanovs · arXiv (Cornell University) · 2015
It is shown that the celebrated result of Sparre Andersen for random walks and L\'evy processes has intriguing consequences when the last time of the process in $(-\infty,0]$ is added to the picture. In the case of no positive jumps this leads to six random times, all of which have the same distribution.