Variably Skewed Brownian Motion

نویسندگان

  • Martin Barlow
  • Krzysztof Burdzy
  • Haya Kaspi
  • Avi Mandelbaum
چکیده

Given a standard Brownian motion B, we show that the equation Xt = x0 + Bt + β(Lt ) , t ≥ 0 , has a unique strong solution X. Here L is the symmetric local time of X at 0, and β is a given differentiable function with β(0) = 0, −1 < β′(·) < 1. (For linear β(·), the solution is the familiar skew Brownian motion).

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تاریخ انتشار 1998