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A note on Skew Brownian Motion with two-valued drift and an application

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  • Zaniar Ahmadi
  • Xiaowen Zhou

Abstract

For skew Brownian motion with two-valued drift, adopting a perturbation approach we find expressions of its potential densities. As applications, we recover its transition density and study its long-time asymptotic behaviors. We also compare with previous results on transition densities for skew Brownian motions. We propose two approaches for generating quasi-random samples by approximating the cumulative distribution function and discussing their risk measurement application.

Suggested Citation

  • Zaniar Ahmadi & Xiaowen Zhou, 2024. "A note on Skew Brownian Motion with two-valued drift and an application," Papers 2407.09321, arXiv.org, revised Nov 2024.
    • Handle: RePEc:arx:papers:2407.09321
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