The Negative Reflection Principle and the Joint Distribution of the Telegraph Process and its Maximum (2011.00342v2)

Abstract: In this paper we study the joint distributions of the telegraph process and its maximum conditioned on the number of changes of direction and the initial velocity. We prove that in the case of positive starting velocity, a form of the reflection principle holds. We call it the negative reflection principle and we generalize it to the paths of the random motions moving with constant finite velocity. In the last section we obtain the conditional distribution of the first passage time of the telegraph process by using the known results on the maximum of the motion. Finally, we derive the distribution of the first returning time to the origin.