Distance between two skew Brownian motions as a S.D.E. With jumps and law of the hitting time

DOI10.1214/12-AOP776zbMath1296.60149arXiv1101.4801OpenAlexW2016562095MaRDI QIDQ373591

Miguel Martinez, Arnaud Gloter

Publication date: 17 October 2013

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.4801

zbMATH Keywords

local timeskew Brownian motionDynkin's formulaexcursion process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Local time and additive functionals (60J55)

Related Items (1)

Bouncing skew Brownian motions

Cites Work

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• Local time flow related to skew Brownian motion.
• Synchronous couplings of reflected Brownian motions in smooth domains
• A CONTINUOUS TIME KRONECKER'S LEMMA AND MARTINGALE CONVERGENCE

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