Resolution of the skew Brownian motion equations with stochastic calculus for signed measures

DOI10.1080/07362994.2020.1844022zbMath1482.60059arXiv1908.10217OpenAlexW3112923456MaRDI QIDQ5859957

Fulgence Eyi-Obiang

Publication date: 18 November 2021

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.10217

zbMATH Keywords

skew Brownian motionhonest timezeros of continuous martingalesrelative martingalesclass \(\Sigma (H)\)stochastic calculus for signed measures

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Martingales with continuous parameter (60G44) Local time and additive functionals (60J55)

Cites Work

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• “Skew-Brownian Motion” and Derived Processes
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