Explicit formula for the density of local times of Markov Jump Processes

Ruojun Huang; Daniel Kious; Vladas Sidoravicius; Pierre Tarrès

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arXiv · 1803.06930

Explicit formula for the density of local times of Markov Jump Processes

Ruojun Huang·Daniel Kious·Vladas Sidoravicius·Pierre Tarrès

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Abstract

In this note we show a simple formula for the joint density of local times, last exit tree and cycling numbers of continuous-time Markov Chains on finite graphs, which involves the modified Bessel function of the first type.

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Ruojun Huang, Daniel Kious, Vladas Sidoravicius, Pierre Tarrès. 2018-03-19. Explicit formula for the density of local times of Markov Jump Processes. https://arxiv.org/abs/1803.06930

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