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Sojourn Time in an Union of Intervals for Diffusions

Author

Listed:
  • Aimé Lachal

    (Pôle de Mathématiques/Institut Camille Jordan CNRS UMR5208)

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.

Suggested Citation

  • Aimé Lachal, 2013. "Sojourn Time in an Union of Intervals for Diffusions," Methodology and Computing in Applied Probability, Springer, vol. 15(4), pages 743-771, December.
    • Handle: RePEc:spr:metcap:v:15:y:2013:i:4:d:10.1007_s11009-012-9280-0
    DOI: 10.1007/s11009-012-9280-0
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