Bouncing Skew Brownian Motions

Arnaud Gloter () and Miguel Martinez ()
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Arnaud Gloter: UMR CNRS 8071, Université d’Evry-Val-d’Essonne, ENSIIE
Miguel Martinez: Laboratoire d’Analyse et de Mathématiques Appliquées, UMR CNRS 8050, Université de Marne-la-Vallée

Journal of Theoretical Probability, 2018, vol. 31, issue 1, 319-363

Abstract: Abstract We consider two skew Brownian motions, driven by the same Brownian motion, with different starting points and different skewness coefficients. In Gloter and Martinez (Ann Probab 41(3A):1628–1655, 2013), the evolution of the distance between the two processes, in local timescale and up to their first hitting time, is shown to satisfy a stochastic differential equation with jumps driven by the excursion process of one of the two skew Brownian motions. In this article, we show that the distance between the two processes in local timescale may be viewed as the unique continuous Markovian self-similar extension of the process described in Gloter and Martinez (2013). This permits us to compute the law of the distance of the two skew Brownian motions at any time in the local timescale, when both original skew Brownian motions start from zero. As a consequence, we give an explicit formula for the entrance law of the associated excursion process and study the Markovian dependence on the skewness parameter. The results are related to an open question formulated initially by Burdzy and Chen (Ann Probab 29(4):1693–1715, 2001).

Keywords: Skew Brownian motion; Self-similar process; Local time; Excursion process; Entrance law; 60G18; 60J55; 60J65 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s10959-016-0719-z

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