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Zapiski Nauchnykh Seminarov POMI, 2021, Volume 501, Pages 36–51 (Mi znsl7076)  
This article is cited in 2 scientific papers (total in 2 papers)

Distributions of functionals of local time of a skew Brownian motion with discontinuous drift

A. N. Borodin

St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences
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Abstract: A skew Brownian motion with piecewise constant drift is considered. With equal constants this diffusion includes a skew Brownian motion with linear drift and with opposite sign constants it turns into a skew Brownian motion with alternating drift. We are interested in a result that allows us to calculate the distributions of the integral functionals with respect to the spatial variable of the local time of a skew Brownian motion with discontinuous drift.
Key words and phrases: Brownian motion with discontinuous drift, skew Brownian motion, local time.
Funding agency Grant number
Russian Foundation for Basic Research 19-01-00356
Received: 06.07.2021
Document Type: Article
UDC: 519.2
Language: Russian
Citation: A. N. Borodin, “Distributions of functionals of local time of a skew Brownian motion with discontinuous drift”, Probability and statistics. Part 30, Zap. Nauchn. Sem. POMI, 501, POMI, St. Petersburg, 2021, 36–51
Citation in format AMSBIB
\Bibitem{Bor21}
\by A.~N.~Borodin
\paper Distributions of functionals of local time of a skew Brownian motion with discontinuous drift
\inbook Probability and statistics. Part~30
\serial Zap. Nauchn. Sem. POMI
\yr 2021
\vol 501
\pages 36--51
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl7076}
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    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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