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

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

Jun Yan, V. Pozdnyakov, Chaoran Hu

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

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zbMATH Keywords

Markov renewal processtelegraph processLévy distribution

Mathematics Subject Classification ID

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

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