Sojourn time in an union of intervals for diffusions

DOI10.1007/S11009-012-9280-0zbMATH Open1306.60112arXiv1111.2069OpenAlexW3102671643MaRDI QIDQ2513639FDOQ2513639

Authors: A. Lachal 

Publication date: 28 January 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Abstract: We give a method for computing the iterated Laplace transform of the sojourn time in an union of intervals for linear diffusion processes. This random variable comes from a model occurring in biology concerning the clustering of membrane receptors. The way used hinges on solving differential equations. We finally have a look on the particular case of Brownian motion and we provide a representation for the Laplace transform of its local time in a finite set.

Full work available at URL: https://arxiv.org/abs/1111.2069

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zbMATH Keywords

Laplace transformBrownian motionsojourn timediffusions

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Laplace transform (44A10) Local time and additive functionals (60J55)

Cites Work

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Cited In (4)

• Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
• Title not available (Why is that?)
• An explicit estimate of sojourning time by intermittency with elementary method
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