Coalescence of skew Brownian motions
| dc.contributor.author | Burdzy, Krzysztof | |
| dc.contributor.author | Barlow, Martin T. | |
| dc.contributor.author | Kaspi, Haya | |
| dc.contributor.author | Mandelbaum, Avi | |
| dc.date.accessioned | 2005-12-09T17:51:39Z | |
| dc.date.available | 2005-12-09T17:51:39Z | |
| dc.date.issued | 2001 | |
| dc.description.abstract | 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 but we would like to record it in print as it has already become the foundation of a research project of Burdzy and Chen (1999). Our theorem is a by-product of an investigation of variably skewed Brownian motion, see Barlow et al. (1999). We use exccursion theory in a manner similar to that in a paper on "perturbed Brownian motion" by Perman and Werner (1997). | en |
| dc.description.sponsorship | Barlow's research partially supported by an NSERC (Canada) grant. Burdzy's research partially supported by NSF grant DMS-9700721. Kaspi and Mandelbaum's research partially supported by the Fund for the Promotion of Research at the Technion. | en |
| dc.format.extent | 98575 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.citation | Barlow, M.T., K. Burdzy, H. Kaspi, & A. Mandelbaum. (2001). Coalescence of skew Brownian motions. Seminaire de probabilites, Universite de Strasbourg, XXXV, 202-205. | en |
| dc.identifier.uri | http://hdl.handle.net/1773/2247 | |
| dc.language.iso | en_US | |
| dc.publisher | Springer-Verlag | en |
| dc.subject | Skew Brownian motion | en |
| dc.subject | excursion theory | en |
| dc.title | Coalescence of skew Brownian motions | en |
| dc.type | Book chapter | en |