Occupation times and Bessel densities

Yevgeniy Kovchegov, Nick Meredith and Eyal Nir

Statistics & Probability Letters, 2010, vol. 80, issue 2, 104-110

Abstract: Consider a Markov process with countably many states. In order to find a one-state occupation time distribution, we use a combination of Fourier and Laplace transforms in the way that allows for the inversion of the Fourier transform. We derive a closed-form expression for the occupation time distribution in the case of a simple continuous-time random walk on and represent the one-state occupation density of a reversible process as a mixture of Bessel densities.

Date: 2010
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