Skew Brownian motion with dry friction: Joint density approach

Alexander Gairat and Vadim Shcherbakov

Statistics & Probability Letters, 2022, vol. 187, issue C

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).

Keywords: Skew Brownian motion; Caughey–Dienes process; Local time; Occupation time (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2022.109511

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