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

Abstract

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.