On the Asymmetric Telegraph Processes
Authors:
- 1 June 2014
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 51 (02) , 569-589
Abstract
We study the one-dimensional random motionX=X(t),t≥ 0, which takes two different velocities with two different alternating intensities. The closed-form formulae for the density functions ofXand for the moments of any order, as well as the distributions of the first passage times, are obtained. The limit behaviour of the moments is analysed under nonstandard Kac's scaling.Keywords
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