Linear combinations of the telegraph random processes driven by partial differential equations

DOI10.1142/S021949371850020XzbMATH Open1394.60045arXiv1503.00871MaRDI QIDQ4584276FDOQ4584276

Authors: Alexander D. Kolesnik 

Publication date: 29 August 2018

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Abstract: Consider $n$ independent Goldstein-Kac telegraph processes $X_1(t),dots,X_n(t),;nge2,;tge0,$ on the real line $BbbR$. Each the process $X_k(t),;k=1,dots,n,$ describes a stochastic motion at constant finite speed $c_k>0$ of a particle that, at the initial time instant $t=0$, starts from some initial point $x_k^0=X_k(0)inBbbR$ and whose evolution is controlled by a homogeneous Poisson process $N_k(t)$ of rate $lambd{a}_k>0$. The governing Poisson processes $N_k(t),;k=1,dots,n,$ are supposed to be independent as well. Consider the linear form of the processes $X_1(t),dots,X_n(t),;nge2,$ defined by ${\displaystyle }$L(t) = sum_{k=1}^n a_k X_k(t) ,${\displaystyle }$ where $a_k,;k=1,dots,n,$ are arbitrary real non-zero constant coefficients. We obtain a hyperbolic system of first-order partial differential equations for the joint probability densities of the process $L(t)$ and of the directions of motions at arbitrary time $t>0$. From this system we derive a partial differential equation of order $2^n$ for the transition density of $L(t)$ in the form of a determinant of a block matrix whose elements are the differential operators with constant coefficients. The weak convergence of $L(t)$ to a homogeneous Wiener process, under Kac's scaling conditions, is proved. Initial-value problems for the transition densities of the sum and difference $S^{pm}(t)=X_1(t)pm{X}_2(t)$ of two independent telegraph processes with arbitrary parameters, are also posed.

Full work available at URL: https://arxiv.org/abs/1503.00871

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zbMATH Keywords

transition densityhyperbolic partial differential equationslinear combinationsinitial-value problemtelegraph processdeterminant of block matrixsum and difference of telegraph processes

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Diffusion processes (60J60) Sums of independent random variables; random walks (60G50) Linear higher-order PDEs (35G05) Initial value problems for linear higher-order PDEs (35G10) Higher-order hyperbolic systems (35L55)

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Cited In (8)

• Some results on the telegraph process confined by two non-standard boundaries
• On the telegraph process driven by geometric counting process with Poisson-based resetting
• Generalized master equations and the telegrapher's equation
• Certain functionals of squared telegraph processes
• Some results on the telegraph process driven by gamma components
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