The paper deals with methods of computation of joint distributions of functionals of the telegraph process and switching diffusions. A switching between two collections of diffusion coefficients happens at Poisson time moments that are independent of the initial diffusions. It is also possible to consider more general switching diffusions when the choice is performed from three or more collections of diffusion coefficients.
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Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 466, 2018, pp. 38–53.
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Borodin, A.N. Joint Distributions of Functionals of the Telegraph Process and Switching Diffusions. J Math Sci 244, 723–732 (2020). https://doi.org/10.1007/s10958-020-04645-z