On skew Brownian motion
From MaRDI portal
Publication:1152911
DOI10.1214/aop/1176994472zbMath0462.60076OpenAlexW2000991167MaRDI QIDQ1152911
J. Michael Harrison, Lawrence A. Shepp
Publication date: 1981
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176994472
Related Items
Two consistent estimators for the skew Brownian motion, EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT, Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations, The skew Brownian permuton: A new universality class for random constrained permutations, On weak convergence of stochastic differential equations with irregular coefficients, Regularisation by fractional noise for one-dimensional differential equations with distributional drift, Modeling volatility of disaster-affected populations: a non-homogeneous geometric-skew Brownian motion approach, Pricing American options under Azzalini Ito-McKean skew Brownian motions, Diffusions on a space of interval partitions: the two-parameter model, Limit behaviour of random walks on ℤmwith two-sided membrane, The stochastic counterpart of conservation laws with heterogeneous conductivity fields: application to deterministic problems and uncertainty quantification, Weak quenched limit theorems for a random walk in a sparse random environment, Minimal subharmonic functions and related integral representations, Well‐posedness of stochastic heat equation with distributional drift and skew stochastic heat equation, Asymptotics for time-changed diffusions, Skew-Unfolding the Skorokhod Reflection of a Continuous Semimartingale, Unnamed Item, Skew brownian motion and a one dimensional stochastic differential equation, Is a Brownian Motion Skew?, Exact Simulation of Brownian Diffusions with Drift Admitting Jumps, Advection-dispersion across interfaces, Functional limit theorem for occupation time processes of intermittent maps, On the local time process of a skew Brownian motion, Biased movement at a boundary and conditional occupancy times for diffusion processes, First Passage Problems for Asymmetric Wiener Processes, A Markov chain approximation scheme for option pricing under skew diffusions, Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process, Constructive approach to limit theorems for recurrent diffusive random walks on a strip, First-Passage Problems for Asymmetric Diffusions and Skew-diffusion Processes, Resolution of the skew Brownian motion equations with stochastic calculus for signed measures, A note on some new perpetuities, Local time flow related to skew Brownian motion., On first hitting times for skew CIR processes, A propagation of chaos result for Burgers' equation, A note on two-sided stochastic control problems, On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media, First Passage Time of Skew Brownian Motion, Zero noise limit of a stochastic differential equation involving a local time, Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise, An ideal class to construct solutions for skew Brownian motion equations, Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions, Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis, The parametrix method for skew diffusions, Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators, Distorted Brownian motions on space with varying dimension, On the limit behavior of a sequence of Markov processes perturbed in a neighborhood of the singular point, Skew Brownian motion-type of extensions, Stochastic integral equations for Walsh semimartingales, Limit theorems for locally perturbed planar Lorentz processes, A limit theorem for singular stochastic differential equations, Functional law of the iterated logarithm type for a skew Brownian motion, Shy couplings, Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process, Exact inequalities for the maximum of a skew Brownian motion, Random walks with sticky barriers, Distance between two skew Brownian motions as a S.D.E. With jumps and law of the hitting time, Some explicit results on first exit times for a jump diffusion process involving semimartingale local time, The mean velocity of a Brownian motion in a random Lévy potential, Balayage formula, local time and applications in stochastic differential equations, On the time inhomogeneous skew Brownian motion, Strong existence and uniqueness for stable stochastic differential equations with distributional drift, Stability problems for Cantor stochastic differential equations, Timing in the presence of directional predictability: optimal stopping of skew Brownian motion, Locally perturbed random walks with unbounded jumps, Some properties of doubly skewed CIR processes, A simple trinomial lattice approach for the skew-extended CIR models, Fechner’s Distribution and Connections to Skew Brownian Motion, On a skew stable Lévy process, Occupation and local times for skew Brownian motion with applications to dispersion across an interface, Convergence of skew Brownian motions with local times at several points that are contracted into a single one, Arbitrage in skew Brownian motion models, On tightness of the skew random walks, Diffusions with Bessel-like drifts, Sticky processes, local and true martingales, On symmetric and skew Bessel processes, Planar diffusions with rank-based characteristics and perturbed Tanaka equations, Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero, A skew stochastic heat equation, Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps, Two Brownian particles with rank-based characteristics and skew-elastic collisions, One-dimensional stochastic differential equations with generalized and singular drift, Limit theorems for local and occupation times of random walks and Brownian motion on a spider, Forward Brownian motion, Some particular self-interacting diffusions: ergodic behaviour and almost sure convergence, On the semi-group of a scaled skew Bessel process, On stiff problems via Dirichlet forms, Regularity properties of the stochastic flow of a skew fractional Brownian motion, On some functional inequalities for skew Brownian motion, Sharp maximal inequalities for stochastic processes, Serve the shortest queue and Walsh Brownian motion, Weak limits of perturbed random walks and the equation \(Y_ t = B_ t+\alpha\sup\{Y_ s:s \leq t\} + \beta\inf\{Y_ s:s\leq t\}\), Some limit theorems for heights of random walks on a spider, Bouncing skew Brownian motions, On the transition density and first hitting time distributions of the doubly skewed CIR process, Squared Bessel processes of positive and negative dimension embedded in Brownian local times, Etude d'une équation différentielle stochastique non linéaire avec temps local, modèle limité pour un système de particules avec interaction à la frontière. (Study of a nonlinear stochastic differential equation with local times, limit model for a particle system with interaction at the boundary), Statistical estimation of the oscillating Brownian motion, Skew Brownian diffusions across Koch interfaces, Weak existence of the squared Bessel and CIR processes with skew reflection on a deterministic time-dependent curve, One-point extensions of Markov processes by darning, Lenses in skew Brownian flow, Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve, About a construction and some analysis of time inhomogeneous diffusions on monotonely moving domains, A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients, On the multi-dimensional skew Brownian motion, Embedding of Walsh Brownian motion, Wave propagation for reaction-diffusion equations on infinite random trees, Discretionary stopping of stochastic differential equations with generalised drift, Skew Ornstein-Uhlenbeck processes and their financial applications, An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions, Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited, On Brownian motion on the plane with membranes on rays with a common endpoint, Skew disperson and continuity of local time, Stochastic bifurcation models, On some properties of sticky Brownian motion, Multi-skewed Brownian motion and diffusion in layered media, A multidimensional process involving local time, Skew CIR process, conditional characteristic function, moments and bond pricing, Diffusion models for population dynamics incorporating individual behavior at boundaries: Applications to refuge design, Strategic real options, Birth-death chains on a spider: spectral analysis and reflecting-absorbing factorization, Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients, Limit behavior of symmetric random walks with a membrane, SELF EXCITING THRESHOLD INTEREST RATES MODELS, Asymmetric skew Bessel processes and their applications to finance, A numerical scheme for stochastic differential equations with distributional drift, Diffusions as a limit of stretched Brownian motions, First hitting times for doubly skewed Ornstein-Uhlenbeck processes, On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time, Étude asymptotique de certains mouvements browniens complexes avec drift, An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
