Occupation Times for Markov-Modulated Brownian Motion
- 1 June 2012
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 49 (2), 549-565
- https://doi.org/10.1239/jap/1339878804
Abstract
In this paper we determine the distributions of occupation times of a Markov-modulated Brownian motion (MMBM) in separate intervals before a first passage time or an exit from an interval. We derive the distributions in terms of their Laplace transforms, and we also distinguish between occupation times in different phases. For MMBMs with strictly positive variation parameters, we further propose scale functions.Keywords
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