Coalescence of skew Brownian motions

1999/11/18 by Martin Barlow, Martin T. Barlow, Krzysztof Burdzy +6
Economics, Econometrics and Finance · Mathematics · #60G17 #60J65 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR #msc:60G17 #msc:60J65

paper · pdf · doi:10.48550/arxiv.math/9911136

arxiv created 1999/11/18 · openalex publication_date 1999/11/18 · arxiv updated 2009/11/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We prove that two skew Brownian motions with the same skewness parameter (different from 0) and driven by the same Brownian motion coalesce a.s.

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