Skew Brownian motion with dry friction: joint density approach

Vadim Shcherbakov; Alexander Gairat

doi:10.1016/j.spl.2022.109511

Skew Brownian motion with dry friction: joint density approach

Research output: Contribution to journal › Article › peer-review

Abstract

This note concerns distributions of Skew Brownian motion with dry friction and its occupation time. These distributions were obtained in [2] by using the Laplace transform and joint characteristic functions. We provide an alternative approach to deriving these distributions. Our approach is based on using the results for Skew Brownian motion obtained in [3]. This note concerns the distribution of Skew Brownian motion with dry friction and its occupation time.

Original language	English
Article number	109511
Pages (from-to)	1-4
Number of pages	4
Journal	Statistics and Probability Letters
Volume	187
Early online date	10 May 2022
DOIs	https://doi.org/10.1016/j.spl.2022.109511
Publication status	Published - Aug 2022

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10.1016/j.spl.2022.109511Licence: CC BY

http://10.1016/j.spl.2022.109511

Cite this

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title = "Skew Brownian motion with dry friction: joint density approach",

abstract = "This note concerns distributions of Skew Brownian motion with dry friction and its occupation time. These distributions were obtained in [2] by using the Laplace transform and joint characteristic functions. We provide an alternative approach to deriving these distributions. Our approach is based on using the results for Skew Brownian motion obtained in [3]. This note concerns the distribution of Skew Brownian motion with dry friction and its occupation time. ",

author = "Vadim Shcherbakov and Alexander Gairat",

year = "2022",

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doi = "10.1016/j.spl.2022.109511",

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journal = "Statistics and Probability Letters",

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AU - Shcherbakov, Vadim

AU - Gairat, Alexander

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AB - This note concerns distributions of Skew Brownian motion with dry friction and its occupation time. These distributions were obtained in [2] by using the Laplace transform and joint characteristic functions. We provide an alternative approach to deriving these distributions. Our approach is based on using the results for Skew Brownian motion obtained in [3]. This note concerns the distribution of Skew Brownian motion with dry friction and its occupation time.

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DO - 10.1016/j.spl.2022.109511

M3 - Article

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