On the distribution of the maximum of the telegraph process

Cinque, F.; Orsingher, E.

doi:10.1090/tpms/1128

Authors: F. Cinque and E. Orsingher
Journal: Theor. Probability and Math. Statist. 102 (2020), 73-95
MSC (2020): Primary 60K99
DOI: https://doi.org/10.1090/tpms/1128
Published electronically: March 29, 2021
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Abstract:

In this paper we present the distribution of the maximum of the telegraph process in the cases where the initial velocity is positive or negative with an even and an odd number of velocity reversals. For the telegraph process with positive initial velocity a reflection principle is proved to be valid while in the case of an initial leftward displacement the conditional distributions are perturbed by a positive probability of never visiting the half positive axis.

Various relationships are established among the mentioned four classes of conditional distributions of the maximum.

The unconditional distributions of the maximum of the telegraph process are obtained for positive and negative initial steps as well as their limiting behaviour. Furthermore the cumulative distributions and the general moments of the conditional maximum are presented.

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