Telegraph processes with random velocities

被引：54
|
作者：
Stadje, W [1 ]
Zacks, S
机构：
[1] Univ Osnabruck, Dept Math & Comp Sci, D-49069 Osnabruck, Germany
[2] SUNY Binghamton, Dept Math Sci, Binghamton, NY 13902 USA
来源：
JOURNAL OF APPLIED PROBABILITY | 2004年 / 41卷 / 03期
关键词：
telegraph process; random velocity; hitting time; exact distribution; integro-differential equation;
D O I：
10.1239/jap/1091543417
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study a one-dimensional telegraph process (M-t)(tgreater than or equal to0) describing the position of a particle moving at constant speed between Poisson times at which new velocities are chosen randomly. The exact distribution of M-t and its first two moments are derived. We characterize the level hitting times of M-t in terms of integro-differential equations which can be solved in special cases.
引用
收藏
页码：665 / 678
页数：14
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