On telegraph processes, their first passage times and running extrema

2021/02/09 by Ratanov, Nikita
#60K99 #FOS: Mathematics #G.3 #Probability (math.PR)

paper · doi:10.48550/arxiv.2102.04905

Abstract

In this note, we present some ideas for describing the distributions of the running maximum/minimum, first passage times and telegraphic meanders. Explicit formulae for joint distribution of the extrema, the number of velocity switches and the terminal position are derived using coupled integral equations technique.

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