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

页码：665 / 678

页数：14

共 50 条

[31] On financial markets based on telegraph processes
Ratanov, Nikita
Melnikov, Alexander
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2008, 80 (2-3) : 247 - 268
[32] Damped jump-telegraph processes
Ratanov, Nikita
STATISTICS & PROBABILITY LETTERS, 2013, 83 (10) : 2282 - 2290
[33] Certain functionals of squared telegraph processes
Martinucci, Barbara
Meoli, Alessandra
STOCHASTICS AND DYNAMICS, 2020, 20 (01)
[34] Large deviation principles for telegraph processes
De Gregorio, Alessandro
Macci, Claudio
STATISTICS & PROBABILITY LETTERS, 2012, 82 (11) : 1874 - 1882
[35] Random telegraph fluctuations in granular microwave resonators
Kristen, M.
Voss, J. N.
Wildermuth, M.
Rotzinger, H.
Ustinov, A. V.
APPLIED PHYSICS LETTERS, 2023, 122 (20)
[36] ON PROBABILITY DISTRIBUTION OF A FILTERED RANDOM TELEGRAPH SIGNAL
NEWMAN, DS
ANNALS OF MATHEMATICAL STATISTICS, 1968, 39 (03): : 890 - &
[37] Random Telegraph Noise in Highly Scaled nMOSFETs
Campbell, J. P.
Qin, J.
Cheung, K. P.
Yu, L. C.
Suehle, J. S.
Oates, A.
Sheng, K.
2009 IEEE INTERNATIONAL RELIABILITY PHYSICS SYMPOSIUM, VOLS 1 AND 2, 2009, : 382 - +
[38] Random Telegraph Noise in Analog CMOS Circuits
da Silva, Mauricio Banaszeski
Wirth, Gilson I.
Tuinhout, Hans P.
Zegers-van Duijnhoven, Adrie
Scholten, Andries J.
IEEE TRANSACTIONS ON CIRCUITS AND SYSTEMS I-REGULAR PAPERS, 2023, 70 (06) : 2229 - 2242
[39] Statistics of random telegraph signals in MOSFET's
Jaentsch, O., 1600, (39): : 1 - 4
[40] The Amplitude of Random Telegraph Noise: Scaling Implications
Cheung, Kin P.
Campbell, J. P.
Potbhare, S.
Oates, A.
2012 IEEE INTERNATIONAL RELIABILITY PHYSICS SYMPOSIUM (IRPS), 2012,

← 1 2 3 4 5 →