Occupation time distributions for the telegraph process

Leonid Bogachev and Nikita Ratanov ()

Stochastic Processes and their Applications, 2011, vol. 121, issue 8, 1816-1844

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; Telegraph; equation; Feynman-Kac; formula; Weak; convergence; Arcsine; law; Laplace; transform (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (7)

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