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 |
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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) |
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