Geodesic
Joint distributions of functionals of telegraph process and switching diffusions
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 26, Tome 466 (2017), pp. 38-53

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The paper deals with the methods for computing joint distributions of functionals of telegraph process and switching diffusions. The switching between two sets of diffusion coefficients comes at the Poisson time moments independent of the initial diffusions. It is also possible to consider the more general switching diffusions when the choice is taken from three and more sets of diffusion coefficients. 
@article{ZNSL_2017_466_a2,
     author = {A. N. Borodin},
     title = {Joint distributions of functionals of telegraph process and switching diffusions},
     journal = {Zapiski Nauchnykh Seminarov POMI},
     pages = {38--53},
     publisher = {mathdoc},
     volume = {466},
     year = {2017},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_2017_466_a2/}
}
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A. N. Borodin. Joint distributions of functionals of telegraph process and switching diffusions. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 26, Tome 466 (2017), pp. 38-53. http://geodesic.mathdoc.fr/item/ZNSL_2017_466_a2/