The transition probability density function of the low-pass filtered random telegraph signal†
- 1 July 1970
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 12 (1) , 25-32
- https://doi.org/10.1080/00207177008931818
Abstract
The transition probability density function p(y/y0) of the output y(t) of an RC filter driven by the random telegraph signal is derived. The results extend the previous work of Wonham (1959) who treated the special case yo = 0. An alternate method of solution to Wonham's procedure is given whereby the transition density is obtained from the solution of a set of Fokker-Planck-Kolmogorov equations.Keywords
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