First Passage Time of Skew Brownian Motion

DOI10.1239/jap/1346955326zbMath1266.60140arXiv1008.2989OpenAlexW2040583975MaRDI QIDQ3165487

Daniel R. Sheldon, Thilanka A. Appuhamillage

Publication date: 29 October 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.2989

zbMATH Keywords

first passage timeskew Brownian motionranked excursion height

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic processes (60G99) Stochastic analysis (60H99)

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