In this paper we present the distribution of the maximum of the asymmetric telegraph process in an arbitrary time interval [0,t] under the conditions that the initial velocity V(0) is either c1 or −c2 and the number of changes of direction is odd or even. For the case V(0)=−c2 the singular component of the distribution of the maximum displays an unexpected cyclic behavior and depends only on c1 and c2, but not on the current time t. We obtain also the unconditional distribution of the maximum for either V(0)=c1 or V(0)=−c2 and its expression has the form of series of Bessel functions. We also show that all the conditional distributions emerging in this analysis are governed by generalized Euler–Poisson–Darboux equations. We recover all the distributions of the maximum of the symmetric telegraph process as particular cases of the present paper. We underline that it rarely happens to obtain explicitly the distribution of the maximum of a process. For this reason the results on the range of oscillations of a natural process like the telegraph model make it useful for many applications.
On the exact distributions of the maximum of the asymmetric telegraph process / Cinque, F.; Orsingher, E.. - In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS. - ISSN 0304-4149. - 142:(2021), pp. 601-633. [10.1016/j.spa.2021.09.011]
On the exact distributions of the maximum of the asymmetric telegraph process
Cinque F.
;Orsingher E.
2021
Abstract
In this paper we present the distribution of the maximum of the asymmetric telegraph process in an arbitrary time interval [0,t] under the conditions that the initial velocity V(0) is either c1 or −c2 and the number of changes of direction is odd or even. For the case V(0)=−c2 the singular component of the distribution of the maximum displays an unexpected cyclic behavior and depends only on c1 and c2, but not on the current time t. We obtain also the unconditional distribution of the maximum for either V(0)=c1 or V(0)=−c2 and its expression has the form of series of Bessel functions. We also show that all the conditional distributions emerging in this analysis are governed by generalized Euler–Poisson–Darboux equations. We recover all the distributions of the maximum of the symmetric telegraph process as particular cases of the present paper. We underline that it rarely happens to obtain explicitly the distribution of the maximum of a process. For this reason the results on the range of oscillations of a natural process like the telegraph model make it useful for many applications.File | Dimensione | Formato | |
---|---|---|---|
Cinque_exact-distributions_2021.pdf
solo gestori archivio
Tipologia:
Versione editoriale (versione pubblicata con il layout dell'editore)
Licenza:
Tutti i diritti riservati (All rights reserved)
Dimensione
2.08 MB
Formato
Adobe PDF
|
2.08 MB | Adobe PDF | Contatta l'autore |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.