On a three-state sojourn time problem

Abstract

Consider the real-valued stochastic process {S(t), 0 ≦ t < ∞} which assumes values in an arbitrary space X. For a given subset T ⊂ X we define which represents the length in time of a visit to state T. We shall restrict ourselves to processes such that τT is a random variable having a differentiable distribution function which is independent of the time t 0 at which the visit to state T begins.