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Skew Brownian motion with dry friction: Joint density approach

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  • Gairat, Alexander
  • Shcherbakov, Vadim

Abstract

This note concerns the distribution of Skew Brownian motion with dry friction and its occupation time. These distributions were obtained in Berezin and Zayats (2019) by using the Laplace transform and joint characteristic functions. We provide an alternative approach, which is based on the use of the joint density for Skew Brownian motion, its last visit to the origin, its local and occupation times derived in Gairat and Shcherbakov (2017).

Suggested Citation

  • Gairat, Alexander & Shcherbakov, Vadim, 2022. "Skew Brownian motion with dry friction: Joint density approach," Statistics & Probability Letters, Elsevier, vol. 187(C).
    • Handle: RePEc:eee:stapro:v:187:y:2022:i:c:s0167715222000876
    DOI: 10.1016/j.spl.2022.109511
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    References listed on IDEAS

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    1. Alexander Gairat & Vadim Shcherbakov, 2017. "Density Of Skew Brownian Motion And Its Functionals With Application In Finance," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 1069-1088, October.
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    Cited by:

    1. Alexander Gairat & Vadim Shcherbakov, 2023. "Extreme ATM skew in a local volatility model with discontinuity: joint density approach," Papers 2305.10849, arXiv.org, revised May 2024.

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