Statistics Papers

Document Type

Journal Article

Date of this Version

1981

Publication Source

The Annals of Probability

Volume

9

Issue

2

Start Page

309

Last Page

313

DOI

10.1214/aop/1176994472

Abstract

We consider the stochastic equation X(t) = W(t) + βlX0(t), where W is a standard Wiener process and lX0(⋅) is the local time at zero of the unknown process X. There is a unique solution X (and it is adapted to the fields of W) if |β| ≤ 1, but no solutions exist if |β| > 1. In the former case, setting α = (β + 1)/2, the unique solution X is distributed as a skew Brownian motion with parameter α. This is a diffusion obtained from standard Wiener process by independently altering the signs of the excursions away from zero, each excursion being positive with probability α and negative with probability 1−α. Finally, we show that skew Brownian motion is the weak limit (as n→∞) of n−1/2S[nt], where Sn is a random walk with exceptional behavior at the origin.

Keywords

Skew Brownian motion, diffusion processes, local time

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Date Posted: 27 November 2017