Distributions of functionals of a skew Brownian motion with discontinuous drift (Q6174429)
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scientific article; zbMATH DE number 7712766
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| English | Distributions of functionals of a skew Brownian motion with discontinuous drift |
scientific article; zbMATH DE number 7712766 |
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Distributions of functionals of a skew Brownian motion with discontinuous drift (English)
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14 July 2023
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The 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. The author is interested in the result that allows to calculate the distributions of the integral functionals with respect to the spatial variable of the local time of a skew Brownian motion with discontinuous drift.
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Brownian motion
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drift
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diffusion
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0.8850747346878052
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0.7976486086845398
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0.7908370494842529
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0.7807080149650574
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