The analysis and property of two classes of skew Markov processes

DOI10.1360/N012018-00057zbMATH Open1499.60274MaRDI QIDQ5064079FDOQ5064079

Authors: Guangli Xu, Shiyu Song, Yongjin Wang 

Publication date: 21 March 2022

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

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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)

Cited In (11)

• On the semi-group of a scaled skew Bessel process
• Feller property of skew product diffusion processes
• Title not available (Why is that?)
• On the Skew Product of Symmetric Diffusion Processes
• On the constructions of the skew Brownian motion
• On the transition density and first hitting time distributions of the doubly skewed CIR process
• An ideal class to construct solutions for skew Brownian motion equations
• Some properties of doubly skewed CIR processes
• Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
• On a skew stable Lévy process
• Skew Ornstein-Uhlenbeck processes and their financial applications

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