The paper presents exact formulae related to the distribution of the first passage time τx of the jump-telegraph process. In particular, the Laplace transform of τx is analysed, when a jump component is in the opposite direction to the crossing level x > 0. The case of double exponential jumps is also studied in detail.
Jump-telegraph process First passage time Laplace transformation Double exponential distribution
Mathematics Subject Classification (2010)
60J75 60J27 60K99
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