Question: Telegraph process. Let .Nt /t0 be a Poisson process with intensity > 0 and Zt D .1/Nt . Show that P.Zs D Zt /

Telegraph process. Let .Nt /t0 be a Poisson process with intensity ˛ > 0 and Zt D

.1/Nt . Show that P.Zs D Zt / D .1Ce2˛.ts//=2 for 0  s < t.

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