Occupation time distributions for the telegraph process

Leonid Bogachev, Nikita Ratanov

Resultado de la investigación: Contribución a RevistaArtículo

10 Citas (Scopus)

Resumen

For the one-dimensional telegraph process, we obtain explicitly the 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 subnormal 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. © 2011 Elsevier B.V. All rights reserved.
Idioma originalEnglish (US)
Páginas (desde-hasta)1816-1844
Número de páginas29
PublicaciónStochastic Processes and their Applications
DOI
EstadoPublished - ago 1 2011

Huella dactilar

Occupation Time
Telegraph
Arc-sine Law
Limiting Distribution
Limit Theorems
Half line
Deviation
Range of data

Citar esto

@article{b6c2f19c047e40dda75e903821a9367b,
title = "Occupation time distributions for the telegraph process",
abstract = "For the one-dimensional telegraph process, we obtain explicitly the 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 subnormal 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. {\circledC} 2011 Elsevier B.V. All rights reserved.",
author = "Leonid Bogachev and Nikita Ratanov",
year = "2011",
month = "8",
day = "1",
doi = "10.1016/j.spa.2011.03.016",
language = "English (US)",
pages = "1816--1844",
journal = "Stochastic Processes and their Applications",
issn = "0304-4149",
publisher = "Elsevier",

}

Occupation time distributions for the telegraph process. / Bogachev, Leonid; Ratanov, Nikita.

En: Stochastic Processes and their Applications, 01.08.2011, p. 1816-1844.

Resultado de la investigación: Contribución a RevistaArtículo

TY - JOUR

T1 - Occupation time distributions for the telegraph process

AU - Bogachev, Leonid

AU - Ratanov, Nikita

PY - 2011/8/1

Y1 - 2011/8/1

N2 - For the one-dimensional telegraph process, we obtain explicitly the 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 subnormal 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. © 2011 Elsevier B.V. All rights reserved.

AB - For the one-dimensional telegraph process, we obtain explicitly the 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 subnormal 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. © 2011 Elsevier B.V. All rights reserved.

U2 - 10.1016/j.spa.2011.03.016

DO - 10.1016/j.spa.2011.03.016

M3 - Article

SP - 1816

EP - 1844

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

SN - 0304-4149

ER -