Distance between two skew Brownian motions as a S.D.E. With jumps and law of the hitting time (Q373591): Difference between revisions

The authors consider two skew Brownian motions, driven by the same Brownian motion, with different starting points and different skewness coefficients. It is shown that the evolution of the distance between the two processes with a stochastic differential equation can be described. This stochastic differential equation possesses a jump component driven by the excursion process of one of the two skew Brownian motions. Using this representation, it is shown that the local time of two skew Brownian motions at their first passage time is distributed as a simple function of a beta random variable. This result extends a result obtained by \textit{K. Burdzy} and \textit{Z.-Q. Chen} [Ann. Probab. 29, No. 4, 1693--1715 (2001; Zbl 1037.60057)], where the law of coalescence of two skew Brownian motions with the same skewness coefficient is computed.