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

DOI10.15559/22-VMSTA210zbMATH Open1502.60129arXiv1909.13311OpenAlexW2975143007MaRDI QIDQ2103306FDOQ2103306

Authors: Chaoran Hu, Jun Yan, V. Pozdnyakov 

Publication date: 13 December 2022

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

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.

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

Recommendations

• Occupation times in markov processes
• Occupation times of alternating renewal processes with Lévy applications
• Occupation times of general Lévy processes
• scientific article
• Occupation times and Bessel densities

zbMATH Keywords

Markov renewal processtelegraph processLévy distribution

Mathematics Subject Classification ID

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

Cites Work

• On estimation for Brownian motion governed by telegraph process with multiple off states
• Discretely observed Brownian motion governed by telegraph process: estimation
• On random motions with velocities alternating at Erlang-distributed random times
• Generalized telegraph process with random delays
• Telegraph processes and option pricing
• Telegraph processes with random velocities
• First-exit times for increasing compound processes
• Generalized integrated telegraph processes and the distribution of related stopping times
• Probability law and flow function of Brownian motion driven by a generalized telegraph process
• A generalized telegraph process with velocity driven by random trials
• Large deviations for some non-standard telegraph processes
• Generalized Telegraph Process with Random Jumps
• Large deviation principles for telegraph processes
• On the Probability Distribution of a Filtered Random Telegraph Signal
• Exact distribution of intermittently changing positive and negative compound Poisson process driven by an alternating renewal process and related functions
• Piecewise linear process with renewal starting points
• Title not available (Why is that?)
• Theoretical Considerations of Routine Maintenance

This page was built for publication: On occupation time for on-off processes with multiple off-states

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2103306)