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On skew sticky Brownian motion
Statistics & Probability Letters, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Distributions of Functionals of a Skew Brownian motion with Discontinuous Drift
Journal of Mathematical Sciences, 2023The author considers skew Brownian motion with piecewise constant drift. This diffusion includes a skew Brownian motion with linear drift with equal constants and it turns into a skew Brownian motion with alternating drift with opposite sign constants.
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Effective conductivity and skew Brownian motion
Journal of Statistical Physics, 1995zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Skew Brownian Motion and Pricing European Options
European Journal of Finance, 2007Abstract The volatility smile and systematic mispricing of the Black–Scholes option pricing model are the typical motivation for examining stochastic processes other than geometric Brownian motion to describe the underlying stock price. In this paper a new stochastic process is presented, which is a special case of the skew-Brownian motion of Ito and ...
T. R. A. Corns, S. E. Satchell
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Skew Brownian motion-type of extensions
Journal of Theoretical Probability, 1996The author proves the existence of extensions of a given symmetric Feller process \(Z_t\), from \(\mathbb{R}\backslash\{0\}\) to \(\mathbb{R}\), depending on a parameter \(\alpha\in[0,1]\): if \(\alpha=1/2\), the extension exists always; if \(\alpha\neq 1/2\), the extension exists if and only if \(Z_t\) does not jump over \(0\).
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On some functional inequalities for skew Brownian motion
Proceedings of the Steklov Institute of Mathematics, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Exact inequalities for the maximum of a skew Brownian motion
Moscow University Mathematics Bulletin, 2012Let \((W^{\alpha}_t)_{t\geq 0}\) (where ...
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Tagged particles of interacting Brownian motions with skew symmetric drifts
Monte Carlo Methods and Applications, 2001Let \(d \geq 2\) and let \(\Theta\) be the set of all finite or infinite ``configurations'' \(\theta= \sum \varepsilon_{x_{i}}\) where \(x_{i} = (x_{i,m}) \in {\mathbb R}^{d}\) have no cluster points in \({\mathbb R}^{d}\), let \(\mu\) be a grand canonical Gibbs measure on \(\Theta\) with a pair interaction potential \(\Phi\), \(\mu\) being translation
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Fechner’s Distribution and Connections to Skew Brownian Motion
2016This note investigates two aspects of Fechner’s two-piece normal distribution: (1) connections with the mean-median-mode inequality and (strong) log-concavity; (2) connections with skew and oscillating Brownian motion processes. The developments here have been inspired by Wallis (Stat Sci 29:106–112, 2014) and rely on Chen and Zili (Sci China Math 58 ...
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Jump-skew-Brownian motion mortality model and natural hedging
Communications in Nonlinear Science and Numerical SimulationYiting Ye, Xu Chen, Xia Lu
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