Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2024
|
| Schlagworte: | |
| Online-Zugang: | https://arxiv.org/abs/2407.09321 |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866908301996851200 |
|---|---|
| author | Ahmadi, Zaniar Zhou, Xiaowen |
| author_facet | Ahmadi, Zaniar Zhou, Xiaowen |
| contents | For refracted skew Brownian motion (skew Brownian motion with two-valued drift), adopting a perturbation approach we find expressions of its potential densities. As applications, we recover its transition density and study its long-time asymptotic behaviors. In addition, we also compare with previous results on transition densities for skew Brownian motions. We propose two approaches for generating quasi-random samples by approximating the cumulative distribution function and discuss their risk measurement application. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_09321 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A note on Refracted Skew Brownian Motion with an application Ahmadi, Zaniar Zhou, Xiaowen Probability Risk Management For refracted skew Brownian motion (skew Brownian motion with two-valued drift), adopting a perturbation approach we find expressions of its potential densities. As applications, we recover its transition density and study its long-time asymptotic behaviors. In addition, we also compare with previous results on transition densities for skew Brownian motions. We propose two approaches for generating quasi-random samples by approximating the cumulative distribution function and discuss their risk measurement application. |
| title | A note on Refracted Skew Brownian Motion with an application |
| topic | Probability Risk Management |
| url | https://arxiv.org/abs/2407.09321 |