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Consider $n$ independent Goldstein-Kac telegraph processes $X_1(t), \dots,X_n(t), \; n\ge 2, \; t\ge 0,$ on the real line $\Bbb R$. Each the process$X_k(t), \; k=1,\dots,n,$ describes a stochastic motion at constant finitespeed $c_k>0$ of a particle that, at the initial time instant $t=0$, startsfrom some initial point $x_k^0=X_k(0)\in\Bbb R$ and whose evolution iscontrolled by a homogeneous Poisson process $N_k(t)$ of rate $\lambda_k>0$. Thegoverning Poisson processes $N_k(t), \; k=1,\dots,n,$ are supposed to beindependent as well. Consider the linear form of the processes $X_1(t), \dots,X_n(t), \; n\ge 2,$ defined by $$L(t) = \sum_{k=1}^n a_k X_k(t) ,$$ where$a_k, \; k=1,\dots,n,$ are arbitrary real non-zero constant coefficients. Weobtain a hyperbolic system of first-order partial differential equations forthe joint probability densities of the process $L(t)$ and of the directions ofmotions at arbitrary time $t>0$. From this system we derive a partialdifferential equation of order $2^n$ for the transition density of $L(t)$ inthe form of a determinant of a block matrix whose elements are the differentialoperators with constant coefficients. The weak convergence of $L(t)$ to ahomogeneous Wiener process, under Kac's scaling conditions, is proved.Initial-value problems for the transition densities of the sum and difference$S^{\pm}(t)=X_1(t) \pm X_2(t)$ of two independent telegraph processes witharbitrary parameters, are also posed.

Linear forms of the telegraph random processes driven by partial differential equations