NDLI: First Passage Time of Skew Brownian Motion

Content Provider	Scilit
Author	Appuhamillage, Thilanka Sheldon, Daniel
Copyright Year	2012
Description	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 (2011) and Csáki and Hu (2004) to derive formulae for the distribution of ranked excursion heights of skew Brownian motion, and then use these results to derive the first passage time distribution.
Related Links	https://www.cambridge.org/core/services/aop-cambridge-core/content/view/2E40539714ED50EB588C25B9787E2073/S0021900200009463a.pdf/div-class-title-first-passage-time-of-skew-brownian-motion-div.pdf
Ending Page	696
Page Count	12
Starting Page	685
ISSN	00219002
e-ISSN	14756072
DOI	10.1017/s0021900200009463
Journal	Journal of applied probability
Issue Number	03
Volume Number	49
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2012-09-01
Access Restriction	Open
Subject Keyword	Journal of applied probability Skew Brownian Motion Ranked Excursion Height First Passage Time
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Statistics, Probability and Uncertainty

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First Passage Time of Skew Brownian Motion