| Título: | Variably Skewed Brownian Motion |
| Autores: |
Barlow, Martin; University of British Columbia Burdzy, Krzysztof; University of Washington Kaspi, Haya; Technion Institute Mandelbaum, Avi; Technion Institute |
| Fecha: | 2000-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Skew Brownian motion, Brownian motion, stochastic differential equation,local time 60J65, 60H10 |
| Descripción: | Given a standard Brownian motion $B$, we show that the equation $$ X_t = x_0 + B_t + \beta(L_t^X), t \geq 0,$$ has a unique strong solution $X$. Here $L^X$ is the symmetric local time of $X$ at $0$, and $\beta$ is a given differentiable function with $\beta(0) = 0$, whose derivative is always in $(-1,1)$. For a linear function $\beta$, the solution is the familiar skew Brownian motion. |
| Idioma: | No aplica |
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