Sojourn time in an union of intervals for diffusions

Details Sojourn time in an union of intervals for diffusions Sojourn time in an union of intervals for diffusions

2011-11-08

arxiv.org/abs/1111.2069v1

Mathematics

Probability

21 pages

Scientific paper

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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