Results 131 to 140 of about 1,204,996 (162)
Annals of Probability, 1981 We consider the stochastic equation $X(t) = W(t) + \beta l^X_0(t)$, where $W$ is a standard Wiener process and $l^X_0(\cdot)$ is the local time at zero of the unknown process $X$. There is a unique solution $X$ (and it is adapted to the fields of $W$) if $|\beta| \leq 1$, but no solutions exist if $|\beta| > 1$.
L A Shepp
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On the constructions of the skew Brownian motion [PDF]
Probability Surveys, 2006 This article summarizes the various ways one may use to construct the Skew Brownian motion, and shows their connections. Recent applications of this process in modelling and numerical simulation motivates this survey. This article ends with a brief account of related results, extensions and applications of the Skew Brownian motion.
Antoine Lejay
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Skew Brownian motion with dry friction: Joint density approach
Statistics and Probability Letters, 2022 This note concerns distributions of Skew Brownian motion with dry friction and its occupation time. These distributions were obtained in [2] by using the Laplace transform and joint characteristic functions. We provide an alternative approach to deriving these distributions.
Vadim Shcherbakov
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Approximation of skew Brownian motion by snapping‐out Brownian motions
Mathematische NachrichtenAbstractWe elaborate on the theorem saying that as permeability coefficients of snapping‐out Brownian motions tend to infinity in such a way that their ratio remains constant, these processes converge to a skew Brownian motion. In particular, convergence of the related semigroups, cosine families, and projections is discussed.
Elżbieta Ratajczyk
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A maximal inequality for skew Brownian motion
Statistics & Risk Modeling, 2009 Abstract We prove a maximal inequality for skew Brownian motion. This result generalizes similar inequalities for standard Brownian motion ([2]) and its modulus ([3, 4]). The proof relies on the solution to an optimal stopping problem.
Mikhail V. Zhitlukhin
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Some of the next articles are maybe not open access.
Skew-Brownian motion and pricing European exchange options
International Review of Financial Analysis, 2022This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated underlying assets are assumed to be governed by theexponential of a skew-Brownian motion, which ...
Puneet Pasricha, Xin-Jiang He
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Local time flow related to skew brownian motion
Annals of Probability, 2001 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Krzysztof Burdzy, Zhen-Qing Chen
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Arbitrage in skew Brownian motion models
Insurance: Mathematics and Economics, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Damiano Rosselló
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