Probabilistic analysis of the telegrapher's process with drift by means of relativistic transformations (Q5943714)

This paper deals with the two-valued integrated telegraph signal with right-ward velocity \(c_1\) and left-ward velocity \(-c_2\) \((c_1,c_2>0)\) and rates \(\lambda_1,\lambda_2\) of the occurrence of velocity switches. Let us assume that at time \(t=0\), a particle starts from the origin and that its initial velocity \(V(0)\) is the two-valued random variable \(P\{V(0)=c_1\}= 1/2\), \(P\{V(0)=-c_2\}= 1/2\). The current velocity \(V=V(t), t>0\), switches from \(c_1\) to \(-c_2\) after an exponentially distributed time (with parameter \(\lambda_1\)) and from \(-c_2\) to \(c_1\) after an exponentially distributed time (with parameter \(\lambda_2\)). The time intervals separated by velocity changes are independent and also independent from \(V(0)\). For the probabilistic description of random position \(X(t)=\int_{0}^{t}V(s) ds\) we need the distribution \(p(x,t) dx= \text{Pr}\{X(t)\in dx\}\) which consists of a singular component concentrated in \(x=c_1 t\) with probability \(e^{-\lambda_1 t}/2\) and in \(x=-c_2 t\) with probability \(e^{-\lambda_2 t}/2\) and an absolutely continuous part spread over the interval \((-c_2 t,c_1 t)\). This absolutely continuous part of the distribution is a solution of the equation \[ {\partial^2 p\over \partial t^2}=c_1 c_2{\partial^2 p\over \partial x^2}+(c_2-c_1){\partial^2 p\over \partial x\partial t}-(\lambda_1+\lambda_2){\partial p\over \partial t}+{1\over 2}[(c_2-c_1)(\lambda_1 +\lambda_2)-(\lambda_2-\lambda_1)(c_1+c_2)] {\partial p\over \partial x}. \] Using the Lorentz transformation \(x'=\alpha x+\beta t, t'=\gamma x +\delta t\) where the constants \(\alpha,\beta,\gamma,\delta\) are to be determined in such a way that the coefficients of \({\partial^2 p\over \partial x'\partial t'}\) and \({\partial p\over \partial x'}\) vanish, the authors obtain explicit form of \(p(x,t)\). The related characteristic function as well as the distribution are also derived by solving an initial value problem for the generalized telegraph equation.