Probability distribution function for the Euclidean distance between two telegraph processes

DOI10.1239/AAP/1418396248zbMATH Open1305.60103arXiv1305.6522OpenAlexW2963288203MaRDI QIDQ2939271FDOQ2939271

Authors: Alexander D. Kolesnik 

Publication date: 19 January 2015

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: Consider two independent Goldstein-Kac telegraph processes $X_1(t)$ and $X_2(t)$ on the real line $BbbR$. The processes $X_k(t),;k=1,2,$ are performed by stochastic motions at finite constant velocities $c_1>0,;c_2>0,$ that start at the initial time instant $t=0$ from the origin of the real line $BbbR$ and are controlled by two independent homogeneous Poisson processes of rates $lambd{a}_1>0,;lambd{a}_2>0$, respectively. Closed-form expression for the probability distribution function of the Euclidean distance ${\displaystyle }$ ho(t) = |X_1(t) - X_2(t) |, qquad t>0,${\displaystyle }$ between these processes at arbitrary time instant $t>0$, is obtained. Some numerical results are presented.

Full work available at URL: https://arxiv.org/abs/1305.6522

Recommendations

• Probability distribution for the sum of two independent telegraph processes
• The explicit probability distribution of the sum of two telegraph processes
• Telegraph processes with random velocities
• Probability law for the Euclidean distance between two planar random flights
• Certain functionals of squared telegraph processes

zbMATH Keywords

Euclidean distancetelegraph equationtelegraph processprobability distribution functionpersistent random walk

Mathematics Subject Classification ID

Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41) Transport processes in time-dependent statistical mechanics (82C70)

Cites Work

• On random motions with velocities alternating at Erlang-distributed random times
• Telegraph processes and option pricing
• Telegraph processes with random velocities
• Title not available (Why is that?)
• A damped telegraph random process with logistic stationary distribution
• Title not available (Why is that?)
• A stochastic model related to the telegrapher's equation
• ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION
• Title not available (Why is that?)
• Differential equations in which the Poisson process plays a role
• Random walks in an inhomogeneous one-dimensional medium with reflecting and absorbing barriers
• Properties of the telegrapher's random process with or without a trap
• Occupation time distributions for the telegraph process
• A note on random walks at constant speed
• Title not available (Why is that?)
• Title not available (Why is that?)
• On M. Kac's probabilistic formula for the solution of the telegraphist's equation
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the maximum displacement of a one-dimensional diffusion process described by the telegrapher's equation
• The Equations of Markovian Random Evolution on the Line

Cited In (5)

• Probability distribution for the sum of two independent telegraph processes
• Probability law for the Euclidean distance between two planar random flights
• The explicit probability distribution of the sum of two telegraph processes
• Probabilistic analysis of systems alternating for state-dependent dichotomous noise
• Linear combinations of the telegraph random processes driven by partial differential equations

This page was built for publication: Probability distribution function for the Euclidean distance between two telegraph processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2939271)