Nikita Ratanov
Published 2021-02-09Version 1
In this note, we present some ideas for describing the distributions of the running maximum/minimum, first passage times and telegraphic meanders. Explicit formulae for joint distribution of the extrema, the number of velocity switches and the terminal position are derived using coupled integral equations technique.
Martingales and first passage times of AR(1) sequences
Occupation times of intervals until first passage times for spectrally negative Lévy processes
Continuous-state branching processes with collisions: first passage times and duality
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