Sojourn time in an union of intervals for diffusions
Probability
2014-02-14 v1
Abstract
We give a method for computing the iterated Laplace transform of the sojourn time in an union of intervals for linear diffusion processes. This random variable comes from a model occurring in biology concerning the clustering of membrane receptors. The way used hinges on solving differential equations. We finally have a look on the particular case of Brownian motion and we provide a representation for the Laplace transform of its local time in a finite set.
Cite
@article{arxiv.1111.2069,
title = {Sojourn time in an union of intervals for diffusions},
author = {Aimé Lachal},
journal= {arXiv preprint arXiv:1111.2069},
year = {2014}
}
Comments
21 pages