Fechner’s Distribution and Connections to Skew Brownian Motion

2016 ◽  
pp. 203-216
Author(s):  
Jon A. Wellner
Keyword(s):  
Brownian Motion ◽  
Skew Brownian Motion

scholarly journals On the local time process of a skew Brownian motion

2019 ◽  
Vol 372 (5) ◽  
pp. 3597-3618 ◽  
Author(s):  
Andrei Borodin ◽  
Paavo Salminen
Keyword(s):  
Brownian Motion ◽  
Local Time ◽  
Time Process ◽  
Skew Brownian Motion

Skew Brownian Motion and Pricing European Options

2007 ◽  
Vol 13 (6) ◽  
pp. 523-544 ◽  
Author(s):  
T. R. A. Corns ◽  
S. E. Satchell
Keyword(s):  
Brownian Motion ◽  
European Options ◽  
Skew Brownian Motion

scholarly journals A Simulation-Based Study on Bayesian Estimators for the Skew Brownian Motion

Entropy ◽  
2016 ◽  
Vol 18 (7) ◽  
pp. 241 ◽  
Author(s):  
Manuel Barahona ◽  
Laura Rifo ◽  
Maritza Sepúlveda ◽  
Soledad Torres
Keyword(s):  
Brownian Motion ◽  
Skew Brownian Motion ◽  
Simulation Based ◽  
Bayesian Estimators

On some properties of sticky Brownian motion

2020 ◽  
pp. 2150037
Author(s):  
Haoyan Zhang ◽  
Pingping Jiang
Keyword(s):  
Brownian Motion ◽  
Laplace Transform ◽  
Explicit Expression ◽  
Lebesgue Measure ◽  
Transition Density ◽  
Positive Lebesgue Measure ◽  
First Hitting Time ◽  
Skew Brownian Motion ◽  
Basic Probability ◽  
Random Jump

In this paper, we investigate a generalization of Brownian motion, called sticky skew Brownian motion, which has two interesting characteristics: stickiness and skewness. This kind of processes spends a lot more time at its sticky points so that the time they spend at the sticky points has positive Lebesgue measure. By using time change, we obtain an SDE for the sticky skew Brownian motion. Then, we present the explicit relationship between symmetric local time and occupation time. Some basic probability properties, such as transition density, are studied and we derive the explicit expression of Laplace transform of transition density for the sticky skew Brownian motion. We also consider the first hitting time problems over a constant boundary and a random jump boundary, respectively, and give some corollaries based on the results above.

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