Variably Skewed Brownian Motion
نویسندگان
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).
منابع مشابه
Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion
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