Occupation Times for Markov-Modulated Brownian Motion
نویسنده
چکیده
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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ورودعنوان ژورنال:
- J. Applied Probability
دوره 49 شماره
صفحات -
تاریخ انتشار 2012