论文标题
带有两值漂移的偏度布朗尼运动的显式过渡密度函数
Explicit Transition Density Functions of Skew Brownian Motions with Two-Valued Drift
论文作者
论文摘要
在本文中，我们得出了所有$ t> 0 $的偏斜运动（缩写中的SBM）的显式过渡密度函数（缩写为缩写）。作为该结果的重要步骤，本文还显示了具有两值漂移的SBM通过找到其对称度量和规范尺度函数，这是一个强大的马尔可夫过程，从中可以从中判断出哪些漂移值使这种过程瞬态或经常性。
In this article, we derive the explicit 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.
