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Occupation time distributions for the telegraph process

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  • Bogachev, Leonid
  • Ratanov, Nikita

Abstract

For the one-dimensional telegraph process, we obtain explicitly the distribution of the occupation time of the positive half-line. The long-term limiting distribution is then derived when the initial location of the process is in the range of subnormal or normal deviations from the origin; in the former case, the limit is given by the arcsine law. These limit theorems are also extended to the case of more general occupation-type functionals.

Suggested Citation

  • Bogachev, Leonid & Ratanov, Nikita, 2011. "Occupation time distributions for the telegraph process," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1816-1844, August.
    • Handle: RePEc:eee:spapps:v:121:y:2011:i:8:p:1816-1844
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    References listed on IDEAS

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    1. Foong, S. K. & Kanno, S., 1994. "Properties of the telegrapher's random process with or without a trap," Stochastic Processes and their Applications, Elsevier, vol. 53(1), pages 147-173, September.
    2. Nikita Ratanov, 2007. "A jump telegraph model for option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 575-583.
    3. Weiss, George H, 2002. "Some applications of persistent random walks and the telegrapher's equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 311(3), pages 381-410.
    4. Nikita Ratanov, 2004. "Branching random motions, nonlinear hyperbolic systems and traveling waves," Borradores de Investigación 4331, Universidad del Rosario.
    5. Orsingher, Enzo, 1990. "Probability law, flow function, maximum distribution of wave-governed random motions and their connections with Kirchoff's laws," Stochastic Processes and their Applications, Elsevier, vol. 34(1), pages 49-66, February.
    6. Nikita Ratanov & Alexander Melnikov, 2007. "On Financial Markets Based on Telegraph Processes," Papers 0712.3428, arXiv.org.
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    Cited by:

    1. De Gregorio, Alessandro & Iafrate, Francesco, 2021. "Telegraph random evolutions on a circle," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 79-108.
    2. Antonio Di Crescenzo & Barbara Martinucci & Shelemyahu Zacks, 2018. "Telegraph Process with Elastic Boundary at the Origin," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 333-352, March.
    3. Nikita Ratanov, 2020. "Kac–Lévy Processes," Journal of Theoretical Probability, Springer, vol. 33(1), pages 239-267, March.
    4. Nikita Ratanov, 2020. "First Crossing Times of Telegraph Processes with Jumps," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 349-370, March.
    5. Thomas M. Michelitsch & Federico Polito & Alejandro P. Riascos, 2023. "Semi-Markovian Discrete-Time Telegraph Process with Generalized Sibuya Waiting Times," Mathematics, MDPI, vol. 11(2), pages 1-20, January.
    6. Ratanov, Nikita, 2021. "On telegraph processes, their first passage times and running extrema," Statistics & Probability Letters, Elsevier, vol. 174(C).

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