Occupation times and Bessel densities

DOI10.1016/j.spl.2009.09.018zbMath1181.60115arXiv0812.1775OpenAlexW2063709164MaRDI QIDQ1049191

Yevgeniy V. Kovchegov, Nick Meredith, Eyal Nir

Publication date: 8 January 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.1775

zbMATH Keywords

continuous-time random walkinversion of the Fourier transformmixture of Bessel densitiesone-state occupation time distribution

Mathematics Subject Classification ID

Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (3)

On a multi-dimensional risk model with regime switching ⋮ Explicit formula for the density of local times of Markov jump processes ⋮ An Optimal Threshold Policy in Applications of a Two-State Markov Process

Cites Work

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• The joint probability density function of the occupation time of a three-state problem
• Occupation times in markov processes
• Identities for passage times with applications to recurrent events and homogeneous differential functions
• Passage-time generating functions for continuous-time finite Markov chains
• Occupation times for two state Markov chains

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