We investigate the stochastic process defined as the square of the (integrated) symmetric telegraph process. Specifically, we obtain its probability law and a closed form expression of the moment generating function. Some results on the first-passage time through a fixed positive level are also provided. Moreover, we analyze some functionals Φ(⋅,⋅) of two independent squared telegraph processes, both in the case Φ(u,v)=u+v and Φ(u,v)=u*v. Starting from this study, we provide some results on the probability density functions of the two-dimensional radial telegraph process and of the product of two independent symmetric telegraph processes. Some of the expressions obtained are given in terms of new results about derivatives of hypergeometric functions with respect to parameters.

Certain functionals of squared telegraph processes

B. Martinucci;A. Meoli
2020

Abstract

We investigate the stochastic process defined as the square of the (integrated) symmetric telegraph process. Specifically, we obtain its probability law and a closed form expression of the moment generating function. Some results on the first-passage time through a fixed positive level are also provided. Moreover, we analyze some functionals Φ(⋅,⋅) of two independent squared telegraph processes, both in the case Φ(u,v)=u+v and Φ(u,v)=u*v. Starting from this study, we provide some results on the probability density functions of the two-dimensional radial telegraph process and of the product of two independent symmetric telegraph processes. Some of the expressions obtained are given in terms of new results about derivatives of hypergeometric functions with respect to parameters.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11386/4726422
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