Occupation time distributions for the telegraph process (Q555025): Difference between revisions

The paper covers important gaps in the general theory of one-dimensional telegraph processes. The explicit distribution of the occupation time of the positive half-line is obtained. This beautiful result generalizes the classical arcsine law derived by Paul Lévy about seventy years. The proof is based on the Feynman-Kac formula for telegraph processes. The long-term limiting distribution is derived when the initial location of the process is in the range of sub-normal 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.