Skip to main content
Kent Academic Repository

Occupation times for Markov-modulated Brownian motion

Breuer, Lothar (2012) Occupation times for Markov-modulated Brownian motion. Journal of Applied Probability, 49 (2). pp. 549-565. ISSN 0021-9002. (doi:10.1239/jap/1339878804) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:31236)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
http://dx.doi.org/10.1239/jap/1339878804

Abstract

In this paper 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. We derive the distributions in terms of their Laplace transforms, and we also distinguish between occupation times in different phases. For MMBMs with strictly positive variation parameters, we further propose scale functions.

Item Type: Article
DOI/Identification number: 10.1239/jap/1339878804
Uncontrolled keywords: Markov-modulated Brownian motion; occupation time; scale function; Markov additive process
Subjects: Q Science > QA Mathematics (inc Computing science) > QA273 Probabilities
Divisions: Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User: Lothar Breuer
Date Deposited: 04 Oct 2012 07:16 UTC
Last Modified: 05 Nov 2024 10:13 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/31236 (The current URI for this page, for reference purposes)

University of Kent Author Information

Breuer, Lothar.

Creator's ORCID:
CReDIT Contributor Roles:
  • Depositors only (login required):

Total unique views for this document in KAR since July 2020. For more details click on the image.