Variably skewed Brownian motion
| dc.contributor.author | Burdzy, Krzysztof | |
| dc.contributor.author | Barlow, Martin T. | |
| dc.contributor.author | Kaspi, Haya | |
| dc.contributor.author | Mandelbaum, Avi | |
| dc.date.accessioned | 2005-11-29T01:59:46Z | |
| dc.date.available | 2005-11-29T01:59:46Z | |
| dc.date.issued | 2000-03-01 | |
| dc.description.abstract | 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 solution X. Here L [to the power of X] is the symmetric local time of X at 0, and [beta] is a given differentiable function with [beta](0) = 0, -1 < [beta prime](.) < 1. (For linear [beta](.), the solution is the familiar skew Brownian motion). | 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 | 147125 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.citation | Barlow, M.T., K. Burdzy, H. Kaspi, & A. Mandelbaum. (2000). Variably skewed Brownian motion. Electronic Communications in Probability, 5, Paper 6, 57-66. | en |
| dc.identifier.uri | http://hdl.handle.net/1773/2201 | |
| dc.language.iso | en_US | |
| dc.publisher | Institute of Mathematical Statistics | en |
| dc.subject | Brownian motion | en |
| dc.subject | local time | en |
| dc.subject | skew Brownian motion | en |
| dc.title | Variably skewed Brownian motion | en |
| dc.type | Article | en |