Sojourn Time in an Union of Intervals for Diffusions

Aimé Lachal ()
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Aimé Lachal: Pôle de Mathématiques/Institut Camille Jordan CNRS UMR5208

Methodology and Computing in Applied Probability, 2013, vol. 15, issue 4, 743-771

Abstract: 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.

Keywords: Sojourn time; Laplace transform; Linear systems; 60J60; 60J55; 60J65 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s11009-012-9280-0

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