First Passage Time of Skew Brownian Motion

DOI10.1239/jap/1346955326zbMath1266.60140arXiv1008.2989MaRDI QIDQ3165487

Daniel R. Sheldon, Thilanka A. Appuhamillage

Publication date: 29 October 2012

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

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

zbMATH Keywords

first passage time; skew Brownian motion; ranked excursion height

Mathematics Subject Classification ID

60J65: Brownian motion

60G99: Stochastic processes

60H99: Stochastic analysis

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