On transition density functions of skew Brownian motions with two-valued drift

DOI10.1016/j.spl.2022.109712zbMath1503.60110arXiv2205.06902OpenAlexW4306761145MaRDI QIDQ2105383

Shuwen Lou

Publication date: 8 December 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2205.06902

zbMATH Keywords

Dirichlet forms\(h\)-transformskew Brownian motiontransition density functionstwo-valued drift

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Probabilistic potential theory (60J45) Derivative securities (option pricing, hedging, etc.) (91G20) Transition functions, generators and resolvents (60J35)

Cites Work

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• Corrections: occupation and local times for skew Brownian motion with applications to dispersion across an interface
• Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control
• Gaussian bounds for the fundamental solutions of \(\nabla(A\nabla u)+B\nabla u-u_ t=0\)
• Brownian motion with drift on spaces with varying dimension
• DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE

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