First passage time of skew Brownian motion Public Deposited

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  • Nearly fifty years after the introduction of skew Brownian motion by Itô and McKean (1963), the first passage time distribution remains unknown. In this paper, we first generalize results of Pitman and Yor (2001) and Csáki and Hu (2004) to derive formulae for the distribution of ranked excursion heights of skew Brownian motion, and then use this result to derive the first passage time distribution.
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  • Appuhamillage, T., & Sheldon, D. (2012). First passage time of skew brownian motion. Journal of Applied Probability, 49(3), 685-696. doi: 10.1239/jap/1346955326
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