Occupation time distributions for the telegraph process
Probability
2010-07-20 v1
Abstract
For the one-dimensional telegraph process, we obtain explicit distribution of the occupation time of the positive half-line. The long-term limiting distribution is then derived when the initial location of the process is in the range of sub-normal or normal deviations from the origin; in the former case, the limit is given by the arcsine law. These limit theorems are also extended to the case of more general occupation-type functionals.
Keywords
Cite
@article{arxiv.1007.3139,
title = {Occupation time distributions for the telegraph process},
author = {Leonid Bogachev and Nikita Ratanov},
journal= {arXiv preprint arXiv:1007.3139},
year = {2010}
}
Comments
23 pages, 4 figures