Title of article :
Occupation time distributions for the telegraph process
Author/Authors :
Bogachev، نويسنده , , Leonid and Ratanov، نويسنده , , Nikita، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2011
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.
Keywords :
Telegraph process , Arcsine law , Laplace transform , Telegraph equation , Feynman–Kac formula , weak convergence
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications