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On the multi-dimensional skew Brownian motion

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  • Atar, Rami
  • Budhiraja, Amarjit

Abstract

We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic collisions.

Suggested Citation

  • Atar, Rami & Budhiraja, Amarjit, 2015. "On the multi-dimensional skew Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 125(5), pages 1911-1925.
    • Handle: RePEc:eee:spapps:v:125:y:2015:i:5:p:1911-1925
    DOI: 10.1016/j.spa.2014.12.001
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    References listed on IDEAS

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    1. Fernholz, E. Robert & Ichiba, Tomoyuki & Karatzas, Ioannis, 2013. "Two Brownian particles with rank-based characteristics and skew-elastic collisions," Stochastic Processes and their Applications, Elsevier, vol. 123(8), pages 2999-3026.
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    Cited by:

    1. Yizhou Bai & Zhiyu Guo, 2019. "An Empirical Investigation to the “Skew” Phenomenon in Stock Index Markets: Evidence from the Nikkei 225 and Others," Sustainability, MDPI, vol. 11(24), pages 1-17, December.
    2. Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2021. "Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis," Papers 2106.09128, arXiv.org.
    3. Hu, Yuan & Lindquist, W. Brent & Rachev, Svetlozar T. & Shirvani, Abootaleb & Fabozzi, Frank J., 2022. "Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    4. Yuan Hu & W. Brent Lindquist & Svetlozar T. Rachev & Frank J. Fabozzi, 2023. "Option pricing using a skew random walk pricing tree," Papers 2303.17014, arXiv.org.
    5. Dereudre David & Mazzonetto Sara & Roelly Sylvie, 2016. "An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers," Monte Carlo Methods and Applications, De Gruyter, vol. 22(1), pages 1-23, March.

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