The explicit probability distribution of the sum of two telegraph processes

DOI10.1142/S0219493715500136MaRDI QIDQ5251130zbMATH OpenOpenAlexFDO

Authors Alexander D. Kolesnik

Publication date 22 May 2015

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

Full work available at URL https://arxiv.org/abs/1402.6866

zbMATH Keywords

hypergeometric functionpersistent random walkprobability distributionrandom evolutiontelegraph equationtelegraph processes

Mathematics Subject Classification ID

Higher-order hyperbolic equations (35L25) Sums of independent random variables; random walks (60G50) Diffusion processes (60J60) Brownian motion (60J65) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Special processes (60K99) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41) Transport processes in time-dependent statistical mechanics (82C70)

Abstract: We consider two independent Goldstein-Kac telegraph processes $X_1(t)$ and $X_2(t)$ on the real line $BbbR$, both developing with finite constant speed $c>0$, that, at the initial time instant $t=0$, simultaneously start from the origin $0inBbbR$ and whose evolutions are controlled by two independent homogeneous Poisson processes of the same rate $lambda>0$. Closed-form expressions for the transition density $p(x,t)$ and the probability distribution function $Phi(x,t)=extPrS(t)<x,;xinBbbR,;t>0,$ of the sum $S(t)=X_1(t)+X_2(t)$ of these processes at arbitrary time instant $t>0$, are obtained. It is also proved that the shifted time derivative $g(x,t)=(partial/partialt+2lambda)p(x,t)$ satisfies the Goldstein-Kac telegraph equation with doubled parameters $2c$ and $2lambda$. From this fact it follows that $p(x,t)$ solves a third-order hyperbolic partial differential equation, but is not its fundamental solution. The general case is also discussed.

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Cited in

(13)

• Properties of the telegrapher's random process with or without a trap
• Probabilistic analysis of systems alternating for state-dependent dichotomous noise
• A note on the conditional probabilities of the telegraph process
• Some results on the telegraph process confined by two non-standard boundaries
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• Duration Distribution of the Conjunction of Two Independent F Processes
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