On occupation time for on-off processes with multiple off-states
Open Access
- 21 June 2022
- journal article
- research article
- Published by VTeX in Modern Stochastics: Theory and Applications
- Vol. 9 (4), 413-430
- https://doi.org/10.15559/22-vmsta210
Abstract
Publisher: VTeX - Solutions for Science Publishing, Journal: Modern Stochastics - Theory and Applications, Title: On occupation time for on-off processes with multiple off-states, Authors: Chaoran Hu, Vladimir Pozdnyakov, Jun Yan , The need to model a Markov renewal on-off process with multiple off-states arise in many applications such as economics, physics, and engineering. Characterization of the occupation time of one specific off-state marginally or two off-states jointly is crucial to understand such processes. The exact marginal and joint distributions of the off-state occupation times are derived. The theoretical results are confirmed numerically in a simulation study. A special case when all holding times have Lévy distribution is considered for the possibility of simplification of the formulas.Keywords
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