Explicit Transition Density Functions of Skew Brownian Motions with Two-Valued Drift
Probability
2022-10-07 v2
Abstract
In this article, we derive the explicit transition density functions of skew Brownian motion (SBM in abbreviation) with two-valued drift for all . As an important step of this result, it is also shown in this paper that SBM with two-valued drift is a strong Markov process by finding its symmetrizing measure and canonical scale function, from which one can tell what values of the drift make such a process transient or recurrent.
Keywords
Cite
@article{arxiv.2205.06902,
title = {Explicit Transition Density Functions of Skew Brownian Motions with Two-Valued Drift},
author = {Shuwen Lou},
journal= {arXiv preprint arXiv:2205.06902},
year = {2022}
}