Affiliation:
1. Dipartimento di Matematica, Università degli Studi di Salerno, Via Giovanni Paolo II, 132, Fisciano (SA) 84084, Italy
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 [Formula: see text] of two independent squared telegraph processes, both in the case [Formula: see text] and [Formula: see text]. 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.
Publisher
World Scientific Pub Co Pte Lt
Cited by
6 articles.
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