Skew Brownian motion with dry friction : joint density approach. / Shcherbakov, Vadim; Gairat, Alexander.

In: Statistics and Probability Letters, Vol. 187, 109511, 08.2022, p. 1-4.

Research output: Contribution to journalArticlepeer-review

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Skew Brownian motion with dry friction : joint density approach. / Shcherbakov, Vadim; Gairat, Alexander.

In: Statistics and Probability Letters, Vol. 187, 109511, 08.2022, p. 1-4.

Research output: Contribution to journalArticlepeer-review

Harvard

Shcherbakov, V & Gairat, A 2022, 'Skew Brownian motion with dry friction: joint density approach', Statistics and Probability Letters, vol. 187, 109511, pp. 1-4. https://doi.org/10.1016/j.spl.2022.109511

APA

Shcherbakov, V., & Gairat, A. (2022). Skew Brownian motion with dry friction: joint density approach. Statistics and Probability Letters, 187, 1-4. [109511]. https://doi.org/10.1016/j.spl.2022.109511

Vancouver

Author

Shcherbakov, Vadim ; Gairat, Alexander. / Skew Brownian motion with dry friction : joint density approach. In: Statistics and Probability Letters. 2022 ; Vol. 187. pp. 1-4.

BibTeX

@article{fccc5ba36bf6470297ffb227f13d0d69,
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",
month = aug,
doi = "10.1016/j.spl.2022.109511",
language = "English",
volume = "187",
pages = "1--4",
journal = "Statistics and Probability Letters",
issn = "0167-7152",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Skew Brownian motion with dry friction

T2 - joint density approach

AU - Shcherbakov, Vadim

AU - Gairat, Alexander

PY - 2022/8

Y1 - 2022/8

N2 - 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.

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.

U2 - 10.1016/j.spl.2022.109511

DO - 10.1016/j.spl.2022.109511

M3 - Article

VL - 187

SP - 1

EP - 4

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

SN - 0167-7152

M1 - 109511

ER -