Distributions of functionals of a skew Brownian motion with discontinuous drift

DOI10.1007/S10958-023-06532-9MaRDI QIDQ6174429zbMATH OpenOpenAlexFDO

Authors A. N. Borodin

Publication date 14 July 2023

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-023-06532-9

zbMATH Keywords

Brownian motiondiffusiondrift

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65)

Review text

The author considers skew Brownian motion with piecewise constant drift. This diffusion includes a skew Brownian motion with linear drift with equal constants and it turns into a skew Brownian motion with alternating drift with opposite sign constants. The author is interested in the result that allows to calculate the distributions of the integral functionals with respect to the spatial variable of the local time of a skew Brownian motion with discontinuous drift.

Recommendations

• Distributions of functionals of the local time of Brownian motion with discontinuous drift
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• On the constructions of the skew Brownian motion

Cites work

• An extension of P. Lévy's distributional properties to the case of a Brownian motion with drift
• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3447884 (Why is no real title available?)
• On the local time process of a skew Brownian motion
• Random Walks and A Sojourn Density Process of Brownian Motion
• Sojourn times of diffusion processes
• Stochastic processes. Translated from the Russian

Cited in

(10)

• On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media
• On transition density functions of skew Brownian motions with two-valued drift
• Distribution of functionals of a Brownian motion with nonstandard switching
• An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
• Skew Brownian motion with dry friction: joint density approach
• Distributions of functionals of the local time of Brownian motion with discontinuous drift
• On the local time process of a skew Brownian motion
• DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
• Occupation and local times for skew Brownian motion with applications to dispersion across an interface
• Transformation of measure for diffusions with discontinuous drift

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