Results 21 to 30 of about 867 (169)
First Passage Time of Skew Brownian Motion [PDF]
Journal of Applied Probability, 2012 Nearly fifty years after the introduction of skew Brownian motion by Itô and McKean (1963), the first passage time distribution remains unknown. In this paper we first generalize results of Pitman and Yor (2011) and Csáki and Hu (2004) to derive formulae for the distribution of ranked excursion heights of skew Brownian motion, and then use these ...
Appuhamillage, Thilanka, Sheldon, Daniel
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Forecasting portfolio returns with skew‐geometric Brownian motions
Applied Stochastic Models in Business and Industry, 2022 AbstractThe gist of this work is to propose a minimum tracking error portfolio that could be adopted not only as an automated alternative to ETFs but, it could also be potentially used to anticipate market changes in the target index. This goal has been achieved by adopting skew Brownian motion as a general framework.
Bufalo M., Liseo B., Orlando G.
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An Ideal Class to Construct Solutions for Skew Brownian Motion Equations [PDF]
Journal of Theoretical Probability, 2021 17 ...
Fulgence Eyi Obiang +2 more
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Brownian Motion in a Wedge with Variable Skew Reflection [PDF]
Transactions of the American Mathematical Society, 1991 Does planar Brownian motion confined to a wedge by skew reflection on the sides approach the vertex of the wedge? This question has been answered by Varadhan and Williams in the case where the direction of reflection is constant on each of the sides, but here we address the question when the direction reflected is allowed to vary. A necessary condition,
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Regularity properties of the stochastic flow of a skew fractional Brownian motion [PDF]
Infinite Dimensional Analysis, Quantum Probability and Related Topics, 2020 In this paper we prove, for small Hurst parameters, the higher-order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive multi-dimensional fractional Brownian noise, where the bounded variation part is given by the local time of the unknown solution process. The proof of this result relies on
Amine, Oussama +2 more
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Optimal stopping of oscillating Brownian motion [PDF]
, 2019 We solve optimal stopping problems for an oscillating Brownian motion, i.e. a diffusion with positive piecewise constant volatility changing at the point x=0.
Mordecki, Ernesto, Salminen, Paavo
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Bi-Directional Grid Constrained Stochastic Processes' Link to Multi-Skew Brownian Motion
, 2022 Bi-directional grid constrained (BGC) stochastic processes (BGCSPs) are identified as a variant rather than a special case of the multi-skew Brownian motion (M-SBM). This is because they have their own complexities, such as the barriers being hidden (not
Taranto, Aldo +2 more
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On the time inhomogeneous skew Brownian motion
Bulletin des Sciences Mathématiques, 2013 This paper is devoted to the construction of a solution for the "Inhomogenous skew Brownian motion" equation, which first appeared in a seminal paper by Sophie Weinryb, and recently, studied by Étoré and Martinez. Our method is based on the use of the Balayage formula. At the end of this paper we study a limit theorem of solutions.
Bouhadou, S., Ouknine, Y.
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On the multi-dimensional skew Brownian motion
Stochastic Processes and their Applications, 2015 We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic collisions.
Atar, Rami, Budhiraja, Amarjit
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On the local time process of a skew Brownian motion [PDF]
Transactions of the American Mathematical Society, 2019 We derive a Ray–Knight type theorem for the local time process (in the space variable) of a skew Brownian motion up to an independent exponential time. It is known that the local time seen as a density of the occupation measure and taken with respect to the Lebesgue measure has a discontinuity at the skew point (in our case at zero), but the local time
Borodin, Andrei, Salminen, Paavo
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