Sojourn time in an union of intervals for diffusions

DOI10.1007/S11009-012-9280-0MaRDI QIDQ2513639zbMATHOpenAlexFDO

Authors A. Lachal

Publication date 28 January 2015

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

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

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)

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.

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Cited in

(4)

• scientific article; zbMATH DE number 3762993 (Why is no real title available?)
• An explicit estimate of sojourning time by intermittency with elementary method
• Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
• scientific article; zbMATH DE number 1895078 (Why is no real title available?)

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