On the local time process of a skew Brownian motion
From MaRDI portal
Publication:5227995
DOI10.1090/tran/7852zbMath1481.60160arXiv1811.07185OpenAlexW2962878338WikidataQ128133908 ScholiaQ128133908MaRDI QIDQ5227995
A. N. Borodin, Paavo H. Salminen
Publication date: 7 August 2019
Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.07185
Related Items (4)
Some explicit results on first exit times for a jump diffusion process involving semimartingale local time ⋮ Distributions of functionals of the local time of Brownian motion with discontinuous drift ⋮ Distributions of functionals of a skew Brownian motion with discontinuous drift ⋮ A Markov chain approximation scheme for option pricing under skew diffusions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Occupation and local times for skew Brownian motion with applications to dispersion across an interface
- On the constructions of the skew Brownian motion
- How small are the increments of the local time of a Wiener process?
- On the joint distribution of the maximum and its location for a linear diffusion
- On skew Brownian motion
- Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
- Local time flow related to skew Brownian motion.
- Arbitrage in skew Brownian motion models
- Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
- Brownian motions on a half line
- A property of Brownian motion paths
- Sojourn times of diffusion processes
- Continuity of Local Time: An Applied Perspective
- The most visited site of Brownian motion and simple random walk
- Markov properties of diffusion local time: a martingale approach
- Stochastic Processes
- Is a Brownian Motion Skew?
- Favourite sites of simple random walk
- Advection-dispersion across interfaces
This page was built for publication: On the local time process of a skew Brownian motion
