On the existence of a time inhomogeneous skew Brownian motion and some related laws
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Publication:428629
DOI10.1214/EJP.V17-1858zbMATH Open1245.60077arXiv1107.2282MaRDI QIDQ428629FDOQ428629
Publication date: 22 June 2012
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Abstract: This article is devoted to the construction of a solution for the "skew inhomogeneous Brownian motion" equation, which first appear in a seminal paper by Sophie Weinryb (1983). We investigate some laws related to the constructed process. In particular, using the description of the straddling excursion above a deterministic time, we compute the joint law of the process, its local time and its straddling time.
Full work available at URL: https://arxiv.org/abs/1107.2282
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Cited In (14)
- Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero
- Modeling volatility of disaster-affected populations: a non-homogeneous geometric-skew Brownian motion approach
- Resolution of the skew Brownian motion equations with stochastic calculus for signed measures
- An ideal class to construct solutions for skew Brownian motion equations
- Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators
- Stochastic averaging for a Hamiltonian system with skew random perturbations
- Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
- Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process
- On the time inhomogeneous skew Brownian motion
- Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited
- Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary
- A numerical scheme for stochastic differential equations with distributional drift
- Carathéodory approximate solutions for a class of perturbed stochastic differential equations with reflecting boundary
- Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
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