The analysis and property of two classes of skew Markov processes

DOI10.1360/N012018-00057MaRDI QIDQ5064079zbMATH OpenFDO

Authors Guangli Xu, Shiyu Song, Yongjin Wang

Publication date 21 March 2022

Published in SCIENTIA SINICA Mathematica (Search for Journal in Brave)

zbMATH Keywords

option pricingskew Brownian motionskew branching processskew OU process

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Local time and additive functionals (60J55)

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• Some properties of doubly skewed CIR processes
• On the semi-group of a scaled skew Bessel process
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• An ideal class to construct solutions for skew Brownian motion equations
• On the Skew Product of Symmetric Diffusion Processes
• Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
• On the transition density and first hitting time distributions of the doubly skewed CIR process
• scientific article; zbMATH DE number 2014641 (Why is no real title available?)
• On the constructions of the skew Brownian motion
• Feller property of skew product diffusion processes
• On a skew stable Lévy process

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