Statistics Papers
Title
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
Recommended Citation
Harrison, J. M., & Shepp, L. A. (1981). On Skew Brownian Motion. The Annals of Probability, 9 (2), 309-313. http://dx.doi.org/10.1214/aop/1176994472
Date Posted: 27 November 2017