First passage time of skew Brownian motion

Citeable URL: https://ir.library.oregonstate.edu/concern/articles/q811kk858

Descriptions

Attribute Name	Values
Creator	Appuhamillage, Thilanka Sheldon, Daniel
Abstract	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. Keywords: First passage time, Ranked excursion heights, Skew Brownian motion Keywords: First passage time, Ranked excursion heights, Skew Brownian motion
Resource Type	Article
DOI	https://doi.org/10.1239/jap/1346955326
Date Available	2013-02-15T01:58:06+00:00
Date Issued	2012-09
Citation	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
Journal Title	Journal of Applied Probability
Journal Volume	49
Journal Issue/Number	3
Déclaration de droits	Copyright Not Evaluated
Funding Statement (additional comments about funding)	Research supported in part by the grant Grant CMG EAR- 0724865 from the National Science Foundation.
Publisher	Applied Probability Trust
Peer Reviewed	Yes
Language	English [eng]
Replaces	http://hdl.handle.net/1957/36910