Sojourn Time in an Union of Intervals for Diffusions

被引：1

作者：

Lachal, Aime ^{[1
]}

机构：

[1] CNRS, Inst Camille Jordan, Inst Natl Sci Appl Lyon Pole Math, UMR5208, F-69621 Villeurbanne, France

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2013年 / 15卷 / 04期

关键词：

Sojourn time; Laplace transform; Linear systems;

D O I：

10.1007/s11009-012-9280-0

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：743 / 771

页数：29