A note on the conditional probabilities of the telegraph process

DOI10.1016/J.SPL.2022.109431MaRDI QIDQ2128932zbMATH OpenOpenAlexFDO

Authors Fabrizio Cinque

Publication date 22 April 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2202.01904

zbMATH Keywords

distribution of maximum and minimuminduction principlereflection principlestochastic motions with drifttelegraph process

Mathematics Subject Classification ID

Special processes (60K99)

Abstract: We consider the telegraph process with two velocities, $a_1>a_{2}inmathbbR$, and two rates of reversal, $lambd{a}_1,lambd{a}_2>0$. We study some of its features with respect to the conditional probability measure where both the initial speed and the number of changes of direction are known. We exhibit a new proof by induction of the (conditional) probability law and a detailed study of the distribution of the motion at time $t>0$ conditioned on its position at a previous time $0<s<t$. In the case of a symmetric process, we present some results on the joint distribution of the position of the motion at time $t>0$, its maximum and its minimum up to that moment.

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Cites work

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Cited in

(8)

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• scientific article; zbMATH DE number 6100376 (Why is no real title available?)
• On the distribution of the maximum of the telegraph process
• Probabilistic analysis of the telegrapher's process with drift by means of relativistic transformations
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