Occupation Times for Markov-Modulated Brownian Motion
Occupation Times for Markov-Modulated Brownian Motion
In this paper we determine the distributions of occupation times of a Markov-modulated Brownian motion (MMBM) in separate intervals before a first passage time or an exit from an interval. We derive the distributions in terms of their Laplace transforms, and we also distinguish between occupation times in different phases. …