On the exact distributions of the maximum of the asymmetric telegraph process

DOI10.1016/J.SPA.2021.09.011zbMATH Open1479.60206OpenAlexW3201870836MaRDI QIDQ2239271FDOQ2239271

Authors Fabrizio Cinque, Enzo Orsingher

Publication date 3 November 2021

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.02689

zbMATH Keywords

Bessel functionstelegraph processEuler-Poisson-Darboux equationsinduction principleGalilean transformationsstochastic motions with drift

Mathematics Subject Classification ID

Special processes (60K99) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)

Abstract: In this paper we present the distribution of the maximum of the asymmetric telegraph process in an arbitrary time interval $[0,t]$ under the conditions that the initial velocity $V(0)$ is either $c_1$ or $-c_2$ and the number of changes of direction is odd or even. For the case $V(0)=-c_2$ the singular component of the distribution of the maximum displays an unexpected cyclic behavior and depends only on $c_1$ and $c_2$, but not on the current time $t$. We obtain also the unconditional distribution of the maximum for either $V(0)=c_1$ or $V(0)=-c_2$ and its expression has the form of series of Bessel functions. We also show that all the conditional distributions emerging in this analysis are governed by generalized Euler-Poisson-Darboux equations. We recover all the distributions of the maximum of the symmetric telegraph process as particular cases of the present paper. We underline that it rarely happens to obtain explicitly the distribution of the maximum of a process. For this reason the results on the range of oscillations of a natural process like the telegraph model make it useful for many applications.

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Cited in

(11)

• On the maximum displacement of a one-dimensional diffusion process described by the telegrapher's equation
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• Stochastic dynamics of generalized planar random motions with orthogonal directions
• On the telegraph process driven by geometric counting process with Poisson-based resetting
• A note on the conditional probabilities of the telegraph process
• Random motions in \(\mathbb{R}^3\) with orthogonal directions
• On telegraph processes, their first passage times and running extrema
• On some finite-velocity random motions driven by the geometric counting process
• Reflection principle for finite-velocity random motions
• Quantitative control of Wasserstein distance between Brownian motion and the Goldstein-Kac telegraph process
• Functional large deviations for Kac-Stroock approximation to a class of Gaussian processes with application to small noise diffusions

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