Distance between two skew Brownian motions as a S.D.E. With jumps and law of the hitting time

DOI10.1214/12-AOP776zbMATH Open1296.60149arXiv1101.4801OpenAlexW2016562095MaRDI QIDQ373591FDOQ373591

Authors: Arnaud Gloter, Miguel Martinez 

Publication date: 17 October 2013

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: In this paper, we consider two skew Brownian motions, driven by the same Brownian motion, with different starting points and different skewness coefficients. We show that we can describe the evolution of the distance between the two processes with a stochastic differential equation. This S.D.E. possesses a jump component driven by the excursion process of one of the two skew Brownian motions. Using this representation, we show that the local time of two skew Brownian motions at their first hitting time is distributed as a simple function of a Beta random variable. This extends a result by Burdzy and Chen (2001), where the law of coalescence of two skew Brownian motions with the same skewness coefficient is computed.

Full work available at URL: https://arxiv.org/abs/1101.4801

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zbMATH Keywords

local timeskew Brownian motionDynkin's formulaexcursion process

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55)

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Cited In (5)

• On simultaneous hitting of membranes by two skew Brownian motions
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