Occupation times and Bessel densities

Yevgeniy Kovchegov, Nick Meredith, Eyal Nir

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

Consider a Markov process with countably many states. In order to find a one-state occupation time distribution, we use a combination of Fourier and Laplace transforms in the way that allows for the inversion of the Fourier transform. We derive a closed-form expression for the occupation time distribution in the case of a simple continuous-time random walk on Z and represent the one-state occupation density of a reversible process as a mixture of Bessel densities.

Original languageEnglish
Pages (from-to)104-110
Number of pages7
JournalStatistics and Probability Letters
Volume80
Issue number2
DOIs
StatePublished - 15 Jan 2010

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