Abstract
Nearly fifty years after the introduction of skew Brownian motion by Itô and McKean (1963), the first passage time distribution remains unknown. In this paper we first generalize results of Pitman and Yor (2011) and Csáki and Hu (2004) to derive formulae for the distribution of ranked excursion heights of skew Brownian motion, and then use these results to derive the first passage time distribution.
Citation
Thilanka Appuhamillage. Daniel Sheldon. "First passage time of skew Brownian motion." J. Appl. Probab. 49 (3) 685 - 696, September 2012. https://doi.org/10.1239/jap/1346955326
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