2011/07/12 by Pierre Étoré, M. Martinez, Etore, Pierre +1
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
paper · doi:10.48550/arxiv.1107.2282
openalex publication_date 2011/07/12 · openalex created_date 2019/06/27 · openalex updated_date 2026/07/28
This article is devoted to the construction of a solution for the "skew inhomogeneous Brownian motion" equation, which first appear in a seminal paper by Sophie Weinryb (1983). We investigate some laws related to the constructed process. In particular, using the description of the straddling excursion above a deterministic time, we compute the joint law of the process, its local time and its straddling time.