First passage time of skew Brownian motion

DOI10.1239/JAP/1346955326zbMATH Open1266.60140arXiv1008.2989OpenAlexW2040583975MaRDI QIDQ3165487FDOQ3165487

Authors: Daniel R. Sheldon, Thilanka A. Appuhamillage 

Publication date: 29 October 2012

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

Abstract: Nearly fifty years after the introduction of skew Brownian motion by It^o and McKean (1963), the first passage time distribution remains unknown. In this paper, we generalize results of Pitman and Yor (2001) and Cs'aki and Hu (2004) to derive formulae for the distribution of ranked excursion heights of skew Brownian motion. We then derive the first passage time distribution as a simple corollary.

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

Recommendations

• Distance between two skew Brownian motions as a S.D.E. With jumps and law of the hitting time
• Bouncing skew Brownian motions
• On the existence of a time inhomogeneous skew Brownian motion and some related laws
• Local time flow related to skew Brownian motion.
• On the local time process of a skew Brownian motion

zbMATH Keywords

first passage timeskew Brownian motionranked excursion height

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• On skew Brownian motion
• A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
• Multi-skewed Brownian motion and diffusion in layered media
• First passage time of skew Brownian motion
• Title not available (Why is that?)
• Title not available (Why is that?)
• Occupation and local times for skew Brownian motion with applications to dispersion across an interface
• A Generalized Taylor–Aris Formula and Skew Diffusion
• Brownian motions on a half line
• Asymmetric skew Bessel processes and their applications to finance
• Invariance principles for ranked excursion lengths and heights
• First passage time analysis of animal movement and insights into the functional response
• On the distribution of ranked heights of excursions of a Brownian bridge.

Cited In (20)

• An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
• Occupation and local times for skew Brownian motion with applications to dispersion across an interface
• On first hitting times for skew CIR processes
• First hitting times for doubly skewed Ornstein-Uhlenbeck processes
• On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media
• Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift
• First passage time of skew Brownian motion
• One-dimensional stochastic equations in layered media with semi-permeable barriers
• First-passage problems for asymmetric diffusions and skew-diffusion processes
• A Markov chain approximation scheme for option pricing under skew diffusions
• Some properties of doubly skewed CIR processes
• Skew disperson and continuity of local time
• Advection-dispersion across interfaces
• Time and place of the maximum for one-dimensional diffusion bridges and meanders
• First hitting time of Brownian motion on simple graph with skew semiaxes
• Skew Brownian motion with dry friction: joint density approach
• Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
• A simple trinomial lattice approach for the skew-extended CIR models
• Some limit theorems for heights of random walks on a spider
• Distance between two skew Brownian motions as a S.D.E. With jumps and law of the hitting time

This page was built for publication: First passage time of skew Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3165487)