Variably skewed Brownian motion

DOI10.1214/ECP.v5-1018zbMath0949.60090MaRDI QIDQ1977465

Martin T. Barlow, Haya Kaspi, Krzysztof Burdzy, Avishai Mandelbaum

Publication date: 18 May 2000

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/120650

zbMATH Keywords

stochastic differential equationBrownian motionlocal timeskew Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Related Items (8)

EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT ⋮ On the time inhomogeneous skew Brownian motion ⋮ Occupation and local times for skew Brownian motion with applications to dispersion across an interface ⋮ Arbitrage in skew Brownian motion models ⋮ Statistical estimation for reflected skew processes ⋮ On symmetric and skew Bessel processes ⋮ Minimizing the time to a decision ⋮ Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited

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