On the multi-dimensional skew Brownian motion

DOI10.1016/J.SPA.2014.12.001zbMATH Open1328.60133arXiv1402.5703OpenAlexW2031941114MaRDI QIDQ2018564FDOQ2018564

Rami Atar, Amarjit Budhiraja

Publication date: 24 March 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: 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.

Full work available at URL: https://arxiv.org/abs/1402.5703

zbMATH Keywords

stochastic differential equationlocal timeskew Brownian motionsingular diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55) Stochastic stability in control theory (93E15)

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Cited In (16)

• Forecasting portfolio returns with skew-geometric Brownian motions
• An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
• Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations
• Bouncing skew Brownian motions
• DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
• On transition density functions of skew Brownian motions with two-valued drift
• Skew-Product Decomposition of Planar Brownian Motion and Complementability
• Heat kernel estimates on spaces with varying dimension
• Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
• Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
• On the existence of a time inhomogeneous skew Brownian motion and some related laws
• On skew sticky Brownian motion
• Title not available (Why is that?)
• On the stochastic regularity of distorted Brownian motions
• “Skew-Brownian Motion” and Derived Processes
• Skew Brownian diffusions across Koch interfaces

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