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Diffusion limit of the telegraph process

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Stochastic process Telegraph process
2026-09-28  0 By others on same topic  0 Discussions Create my own version
If speed s and reversal rate λ tend to infinity with s2/(2λ)=D fixed, the integrated telegraph velocity converges to Brownian motion with diffusivity D.

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  • Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 356 / 1 / e / Solution

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