On transition density functions of skew Brownian motions with two-valued drift

Shuwen Lou

Statistics & Probability Letters, 2023, vol. 193, issue C

Abstract: In this article, based on the results in Gairat and Shcherbakov (2017), we derive two-sided bounds for the full family of transition density functions of skew Brownian motion (SBM in abbreviation) with two-valued drift for all t>0. As an important step of this result, it is also shown in this paper that SBM with two-valued drift is a strong Markov process by finding its symmetrizing measure and canonical scale function, from which one can tell what values of the drift make such a process transient or recurrent.

Keywords: Skew Brownian motion; Two-valued drift; Dirichlet forms; h-transform; Transition density functions (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spl.2022.109712

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