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arXiv · 1111.2069

Sojourn time in an union of intervals for diffusions

Aimé Lachal
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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.

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Aimé Lachal. 2011-11-08. Sojourn time in an union of intervals for diffusions. https://doi.org/10.1007/s11009-012-9280-0

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