The Arc-Sine Laws for the Skew Brownian Motion and Their Interpretation

Публікація:
The Arc-Sine Laws for the Skew Brownian Motion and Their Interpretation

dc.contributor.author	Krykun, I.H.
dc.contributor.author	Крикун, Іван Григорович
dc.date.accessioned	2026-04-01T09:14:11Z
dc.date.issued	2018
dc.description.abstract	We consider the skew Brownian motion as a solution of some stochastic dif ferential equation. We prove for the skew Brownian motion the analogues of the arc-sine laws for Wiener process. Unlike of existing results, we are forced to consider a stochastic differential equation with discontinuous diffusion coefficient. Possible interpretations of obtained results are suggested.
dc.identifier.citation	Krykun I.H. The Arc-Sine Laws for the Skew Brownian Motion and Their Interpretation. Journal of Applied Mathematics and Phys ics. 2018. No. 6. Pp. 347-357. https://doi.org/10.4236/jamp.2018.62033
dc.identifier.doi	https://doi.org/10.4236/jamp.2018.62033
dc.identifier.issn	2327-4352
dc.identifier.orcid	https://orcid.org/0000-0001-5468-512X
dc.identifier.uri	https://dspace.krok.edu.ua/handle/krok/10314
dc.language.iso	en
dc.publisher	Scientific Research Publishing
dc.subject	skew brownian motion
dc.subject	local time
dc.subject	arc-sine law
dc.title	The Arc-Sine Laws for the Skew Brownian Motion and Their Interpretation
dc.type	Article
dspace.entity.type	Publication
relation.isAuthorOfPublication	bcec6d76-52fe-47ae-8db4-336b003ebaa1
relation.isAuthorOfPublication.latestForDiscovery	bcec6d76-52fe-47ae-8db4-336b003ebaa1

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