Asymptotic relation for the transition density of the three-dimensional   Markov random flight on small time intervals
  We consider the Markov random flight $\bold X(t), \; t>0,$ in the three-dimensional Euclidean space $\Bbb R^3$ with constant finite speed $c>0$ and the uniform choice of the initial and each new direction at random time instants that form a homogeneous Poisson flow of rate $\lambda>0$. Series representations for the conditional characteristic functions of $\bold X(t)$ corresponding to two and three changes of direction, are obtained. Based on these results, an asymptotic formula, as $t\to 0$, for the unconditional characteristic function of $\bold X(t)$ is derived. By inverting it, we obtain an asymptotic relation for the transition density of the process. We show that the error in this formula has the order $o(t^3)$ and, therefore, it gives a good approximation on small time intervals whose lengths depend on $\lambda$. Estimate of the accuracy of the approximation is analysed. 
Alexander D. Kolesnik
math.PR