On the multi-dimensional skew Brownian motion

RAMI ATAR; Amarjit Budhiraja

doi:10.1016/j.spa.2014.12.001

On the multi-dimensional skew Brownian motion

RAMI ATAR, Amarjit Budhiraja

Technion - Israel Institute of Technology

Research output: Contribution to journal › Article › peer-review

Abstract

We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic collisions.

Original language	English
Pages (from-to)	1911-1925
Number of pages	15
Journal	Stochastic Processes and their Applications
Volume	125
Issue number	5
DOIs	https://doi.org/10.1016/j.spa.2014.12.001
State	Published - May 2015

Keywords

SDE with local time
Singular diffusion processes
Skew Brownian motion

All Science Journal Classification (ASJC) codes

Statistics and Probability
Modelling and Simulation
Applied Mathematics

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10.1016/j.spa.2014.12.001

Cite this

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title = "On the multi-dimensional skew Brownian motion",

abstract = "We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic collisions.",

keywords = "SDE with local time, Singular diffusion processes, Skew Brownian motion",

author = "RAMI ATAR and Amarjit Budhiraja",

year = "2015",

month = may,

doi = "10.1016/j.spa.2014.12.001",

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AU - ATAR, RAMI

AU - Budhiraja, Amarjit

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AB - We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic collisions.

KW - SDE with local time

KW - Singular diffusion processes

KW - Skew Brownian motion

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U2 - 10.1016/j.spa.2014.12.001

DO - 10.1016/j.spa.2014.12.001

M3 - مقالة

SN - 0304-4149

VL - 125

SP - 1911

EP - 1925

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 5

ER -

On the multi-dimensional skew Brownian motion

Abstract

Keywords

All Science Journal Classification (ASJC) codes

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