The joint distribution of occupation times of skip-free Markov processes and a class of multivariate exponential distributions

Details The joint distribution of occupation times of skip-free Markov processes and a class of multivariate exponential distributions The joint distribution of occupation times of skip-free Markov processes and a class of multivariate exponential distributions

2007-12-11

arxiv.org/abs/0712.1646v1

Mathematics

Probability

Scientific paper

For a skip-free Markov process on non-negative integers with generator matrix Q, we evaluate the joint Laplace transform of the occupation times before hitting the state n (starting at 0). This Laplace transform has a very straightforward and familiar expression. We investigate the properties of this Laplace transform, especially the conditions under which the occupation times form a Markov chain.

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