An ideal class to construct solutions for skew Brownian motion equations

DOI10.1007/s10959-021-01078-5zbMath1502.60037arXiv2005.04030OpenAlexW3129926732MaRDI QIDQ2135195

Octave Moutsinga, Fulgence Eyi-Obiang, Youssef Ouknine

Publication date: 4 May 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.04030

zbMATH Keywords

skew Brownian motionhonest timebalayage formulaclass \((\Sigma)\)relative martingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) General theory of stochastic processes (60G07) Generalized stochastic processes (60G20) Martingales and classical analysis (60G46)

Cites Work

• On the time inhomogeneous skew Brownian motion
• On the existence of a time inhomogeneous skew Brownian motion and some related laws
• On some properties of universal sigma-finite measures associated with a remarkable class of submartingales
• A class of remarkable submartingales
• Multiplicative decompositions and frequency of vanishing of nonnegative submartingales
• A new construction of the \(\sigma \)-finite measures associated with submartingales of class \((\Sigma )\)
• On skew Brownian motion
• A Remarkable σ-finite Measure Associated with Last Passage Times and Penalisation Problems
• “Skew-Brownian Motion” and Derived Processes
• Les inegalites de sous-martingales, comme consequences de la relation de domination
• Some contributions to the study of stochastic processes of the classes and
• Processes of Class Sigma, Last Passage Times, and Drawdowns
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