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JOURNALS // Theory of Stochastic Processes // Archive

Theory Stoch. Process., 2009 Volume 15(31), Issue 1, Pages 1–6 (Mi thsp106)

On simultaneous hitting of membranes by two skew Brownian motions

O. V. Aryasovaa, A. Yu. Pilipenkob

a Institute of Geophysics, National Academy of Sciences of Ukraine, Palladina Pr., 32, Kiev 03680, Ukraine
b Institute of Mathematics, National Academy of Sciences of Ukraine, Tereshchenkivska Str., 3, Kiev 01601, Ukraine

Abstract: We consider two depending Wiener processes which have membranes at zero with different permeability coefficients. Starting from different points, the processes almost surely do not meet at any fixed point except that where membranes are situated. The necessary and sufficient conditions for the meeting of the processes are found. It is shown that the probability of meeting is equal to zero or one.

Keywords: Skew Brownian motion, singular SDE.

MSC: 60J65, 60H10

Language: English



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