Probability distribution function for the Euclidean distance between two telegraph processes

Abstract: Consider two independent Goldstein-Kac telegraph processes

X_{1} (t)

and

X_{2} (t)

on the real line

B b b R

. 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

B b b R

and are controlled by two independent homogeneous Poisson processes of rates

l a m b d a_{1} > 0,; l a m b d a_{2} > 0

, respectively. Closed-form expression for the probability distribution function of the Euclidean distance

ho(t) = |X_1(t) - X_2(t) |, qquad t>0,

between these processes at arbitrary time instant

t > 0

, is obtained. Some numerical results are presented.

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