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Browsing EPrint Collection - Mathematics by Subject "skew Brownian motion"

Browsing EPrint Collection - Mathematics by Subject "skew Brownian motion"

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  • Burdzy, Krzysztof; Chen, Zhen-Qing (Institute of Mathematical Statistics, 2001-10)
    We define a local time flow of skew Brownian motions, i.e., a family of solutions to the stochastic differential equation defining the skew Brownian motion, starting from different points but driven by the same Brownian ...
  • Burdzy, Krzysztof; Barlow, Martin T.; Kaspi, Haya; Mandelbaum, Avi (Institute of Mathematical Statistics, 2000-03-01)
    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 ...

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