On occupation time for on-off processes with multiple off-states

DOI10.15559/22-VMSTA210MaRDI QIDQ2103306zbMATH OpenOpenAlexFDO

Authors Chaoran Hu, Jun Yan, V. Pozdnyakov

Publication date 13 December 2022

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1909.13311

zbMATH Keywords

Markov renewal processtelegraph processLévy distribution

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15)

Abstract: The need to model a Markov renewal on-off process with multiple off-states arise in many applications such as economics, physics, and engineering. Characterization of the occupation time of one specific off-state marginally or two off-states jointly is crucial to understanding such processes. We derive the exact marginal and joint distributions of the off-state occupation times. The theoretical results are confirmed numerically in a simulation study. A special case when all holding times have Levy distribution is considered for the possibility of simplification of the formulas.

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