Occupation times in markov processes
نویسندگان
چکیده
منابع مشابه
Occupation Times for Markov-Modulated Brownian Motion
We determine the distributions of occupation times of a Markov-modulated Brownian motion (MMBM) in separate intervals before a first passage time or an exit from an interval. They will be derived in terms of their Laplace transforms, distinguishing occupation times in different phases too. For MMBMs with strictly positive variation parameters we further propose scale functions.
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ژورنال
عنوان ژورنال: Communications in Statistics. Stochastic Models
سال: 2000
ISSN: 0882-0287
DOI: 10.1080/15326340008807601