Browsing Mathematics, Department of by Author "Kaspi, Haya"
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Coalescence of skew Brownian motions
Burdzy, Krzysztof; Barlow, Martin T.; Kaspi, Haya; Mandelbaum, Avi (SpringerVerlag, 2001)The purpose of this short note is to prove almost sure coalescence of two skew Brownian motions starting from different initial points, assuming that they are driven by the same Brownian motion. The result is very simple ... 
Lenses in skew Brownian flow
Burdzy, Krzysztof; Kaspi, Haya (Institute of Mathematical Statistics, 200410)We consider a stochastic flow in which individual particles follow skew Brownian motions, with each one of these processes driven by the same Brownian motion. One does not have uniqueness for the solutions of the corresponding ... 
Variably skewed Brownian motion
Burdzy, Krzysztof; Barlow, Martin T.; Kaspi, Haya; Mandelbaum, Avi (Institute of Mathematical Statistics, 20000301)Given a standard Brownian motion B, we show that the equation X [subscript] t = x [subscript] 0 + B [subscript] t + [beta](L [to the power of X] [subscript] t ); t [is greater than or equal to] 0 ; has a unique strong ...