Skew Brownian motion-type of extensions

被引:3
作者
VuolleApiala, J
机构
[1] Department of Mathematics, SF-00014 Helsinki, P.O. Box 4
关键词
Feller process; skew Brownian motion; excursion theory; entrance law;
D O I
10.1007/BF02214254
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We consider a class of possible extensions of a given symmetric Feller process Z, from R\{0} to the entire real line R, depending on a parameter alpha is an element of [0, 1]. It is proved that the proposed extension exists if alpha = 1/2; for alpha not equal 1/2, exists if and only if Z(t) does not jump over 0 (e.g., if Z(t) is a diffusion).
引用
收藏
页码:853 / 861
页数:9
相关论文
共 50 条
  • [21] DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
    Gairat, Alexander
    Shcherbakov, Vadim
    MATHEMATICAL FINANCE, 2017, 27 (04) : 1069 - 1088
  • [22] A simple European option pricing formula with a skew Brownian motion
    Pasricha, Puneet
    He, Xin-Jiang
    PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES, 2023, 37 (04) : 1029 - 1034
  • [23] Bouncing Skew Brownian Motions
    Gloter, Arnaud
    Martinez, Miguel
    JOURNAL OF THEORETICAL PROBABILITY, 2018, 31 (01) : 319 - 363
  • [24] Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
    Alvarez, Luis H. R. E.
    Salminen, Paavo
    MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2017, 86 (02) : 377 - 400
  • [25] Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
    Luis H. R. Alvarez E.
    Paavo Salminen
    Mathematical Methods of Operations Research, 2017, 86 : 377 - 400
  • [26] A Simulation-Based Study on Bayesian Estimators for the Skew Brownian Motion
    Barahona, Manuel
    Rifo, Laura
    Sepulveda, Maritza
    Torres, Soledad
    ENTROPY, 2016, 18 (07):
  • [27] On the existence of a time inhomogeneous skew Brownian motion and some related laws
    Etore, Pierre
    Martinez, Miguel
    ELECTRONIC JOURNAL OF PROBABILITY, 2012, 17
  • [28] Resolution of the skew Brownian motion equations with stochastic calculus for signed measures
    Eyi Obiang, Fulgence
    STOCHASTIC ANALYSIS AND APPLICATIONS, 2021, 39 (05) : 775 - 803
  • [29] OCCUPATION AND LOCAL TIMES FOR SKEW BROWNIAN MOTION WITH APPLICATIONS TO DISPERSION ACROSS AN INTERFACE
    Appuhamillage, Thilanka
    Bokil, Vrushali
    Thomann, Enrique
    Waymire, Edward
    Wood, Brian
    ANNALS OF APPLIED PROBABILITY, 2011, 21 (01) : 183 - 214
  • [30] Lenses in skew Brownian flow
    Burdzy, K
    Kaspi, H
    ANNALS OF PROBABILITY, 2004, 32 (04) : 3085 - 3115