Electronic Communications in Probability

Explicit formula for the density of local times of Markov jump processes

Ruojun Huang, Daniel Kious, Vladas Sidoravicius, and Pierre Tarrès

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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.

Article information

Electron. Commun. Probab., Volume 23 (2018), paper no. 90, 7 pp.

Received: 26 March 2018
Accepted: 13 November 2018
First available in Project Euclid: 15 December 2018

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Zentralblatt MATH identifier

Primary: 60J55: Local time and additive functionals 60J75: Jump processes

Markov jump process density of local times last exit trees cycling numbers modified Bessel function

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Huang, Ruojun; Kious, Daniel; Sidoravicius, Vladas; Tarrès, Pierre. Explicit formula for the density of local times of Markov jump processes. Electron. Commun. Probab. 23 (2018), paper no. 90, 7 pp. doi:10.1214/18-ECP194. https://projecteuclid.org/euclid.ecp/1544843113

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