On telegraph processes, their first passage times and running extrema

Nikita Ratanov

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arXiv · 2102.04905

On telegraph processes, their first passage times and running extrema

Nikita Ratanov

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Abstract

In this note, we present some ideas for describing the distributions of the running maximum/minimum, first passage times and telegraphic meanders. Explicit formulae for joint distribution of the extrema, the number of velocity switches and the terminal position are derived using coupled integral equations technique.

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Nikita Ratanov. 2021-02-09. On telegraph processes, their first passage times and running extrema. https://arxiv.org/abs/2102.04905

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