First passage time of skew Brownian motion
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Publication:3165487
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.
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Cites work
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- scientific article; zbMATH DE number 4140971 (Why is no real title available?)
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- A Generalized Taylor–Aris Formula and Skew Diffusion
- A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
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- Invariance principles for ranked excursion lengths and heights
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- On skew Brownian motion
- On the distribution of ranked heights of excursions of a Brownian bridge.
Cited in
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- Occupation and local times for skew Brownian motion with applications to dispersion across an interface
- On first hitting times for skew CIR processes
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- Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift
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- One-dimensional stochastic equations in layered media with semi-permeable barriers
- First-passage problems for asymmetric diffusions and skew-diffusion processes
- Some properties of doubly skewed CIR processes
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- A Markov chain approximation scheme for option pricing under skew diffusions
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