eduzhai > Physical Sciences > Physics Sciences >

The Arc-Sine Laws for the Skew Brownian Motion and Their Interpretation

  • Save

... pages left unread,continue reading

Document pages: 11 pages

Abstract: We consider the skew Brownian motion as a solution of some stochastic differential equation. We prove for the skew Brownian motion the analogues of the arc-sine laws for Wiener process. Unlike of existing results, we are forced to consider a stochastic differential equation with discontinuous diffusion coefficient. Possible interpretations of obtained results are suggested.

Please select stars to rate!

         

0 comments Sign in to leave a comment.

    Data loading, please wait...
×