An Ideal Class to Construct Solutions for Skew Brownian Motion Equations

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Output type: Journal article

UM6P affiliated Publication?: Yes

Author list: Eyi Obiang, Fulgence; Moutsinga, Octave; Ouknine, Youssef

Publisher: Springer Verlag (Germany)

Publication year: 2021

Journal: Journal of Theoretical Probability (0894-9840)

ISSN: 0894-9840

eISSN: 1572-9230

Languages: English (EN-GB)

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This paper contributes to the study of stochastic processes of the class (Sigma). First, we extend the notion of the above-mentioned class to cadlag semi-martingales, whose finite variation part is considered cadlag instead of continuous. Thus, we present some properties and propose a method to characterize such stochastic processes. Second, we investigate continuous processes of the class (Sigma). More precisely, we derive a series of new characterization results. In addition, we construct solutions for skew Brownian motion equations using continuous stochastic processes of the class (Sigma).


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Last updated on 2021-21-11 at 23:20