Occupation times for two-state Markov chains

DOI10.1016/0166-218X(80)90044-XMaRDI QIDQ1140366zbMATH OpenOpenAlexFDO

Authors Samir K. Bhattacharya, Arjun K. Gupta

Publication date 1980

Published in Discrete Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0166-218x(80)90044-x

zbMATH Keywords

occupation timespartition theory

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Combinatorial probability (60C05)

Cited in

(3)

• A hidden Markov regime-switching model for option valuation
• On uniform closeness of local times of Markov chains and i.i.d. sequences
• Optimal refinancing strategy for mortgage rate with regime switching

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