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
相关论文
共 50 条
  • [21] Random telegraph noise in a nickel nanoconstriction
    Céspedes, O
    Jan, G
    Viret, M
    Bari, M
    Coey, JMD
    JOURNAL OF APPLIED PHYSICS, 2003, 93 (10) : 8433 - 8435
  • [22] Random telegraph signals in molecular junctions
    Brunner, Jan
    Teresa Gonzalez, Maria
    Schoenenberger, Christian
    Calame, Michel
    JOURNAL OF PHYSICS-CONDENSED MATTER, 2014, 26 (47)
  • [23] GENERALIZED TELEGRAPH PROCESS WITH RANDOM DELAYS
    Bshouty, Daoud
    Di Crescenzo, Antonio
    Martinucci, Barbara
    Zacks, Shelemyahu
    JOURNAL OF APPLIED PROBABILITY, 2012, 49 (03) : 850 - 865
  • [24] GENERALIZED TELEGRAPH PROCESS WITH RANDOM JUMPS
    Di Crescenzo, Antonio
    Iuliano, Antonella
    Martinucci, Barbara
    Zacks, Shelemyahu
    JOURNAL OF APPLIED PROBABILITY, 2013, 50 (02) : 450 - 463
  • [25] STATISTICS OF RANDOM TELEGRAPH SIGNALS IN MOSFETS
    JANTSCH, O
    APPLIED SURFACE SCIENCE, 1989, 39 (1-4) : 486 - 492
  • [26] Random telegraph noise in HgCdTe photodiodes
    Sugiyama, I
    Ueda, T
    Kajihara, N
    Miyamoto, Y
    NARROW GAP SEMICONDUCTORS 1995, 1995, (144): : 340 - 344
  • [27] Time-fractional telegraph equations and telegraph processes with Brownian time
    Orsingher, E
    Beghin, L
    PROBABILITY THEORY AND RELATED FIELDS, 2004, 128 (01) : 141 - 160
  • [28] Time-fractional telegraph equations and telegraph processes with brownian time
    Enzo Orsingher
    Luisa Beghin
    Probability Theory and Related Fields, 2004, 128 : 141 - 160
  • [29] Goldstein-Kac telegraph processes with random speeds: Path probabilities, likelihoods, and reported Levy flights
    Sim, Aaron
    Liepe, Juliane
    Stumpf, Michael P. H.
    PHYSICAL REVIEW E, 2015, 91 (04):
  • [30] Transformations of Telegraph Processes and Their Financial Applications
    Pogorui, Anatoliy A.
    Swishchuk, Anatoliy
    Rodriguez-Dagnino, Ramon M.
    RISKS, 2021, 9 (08)
12345