Derives Dirichlet problems for exit distributions and mean exit times of the telegraph process and its planar extensions, with explicit strip solutions and hydrodynamic limit to Brownian motion.
A jump telegraph model for option pricing.Quantitative Finance, 7(5):575–583, 2007
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Dirichlet problems and exit distributions for the telegraph process and its planar extensions
Derives Dirichlet problems for exit distributions and mean exit times of the telegraph process and its planar extensions, with explicit strip solutions and hydrodynamic limit to Brownian motion.