Event Type:

Probability Seminar

Date/Time:

Tuesday, April 21, 2009 - 09:00

Location:

Kidder 350

Abstract:

We compute the joint density of skew Brownian motion, its local time at the origin, and its occupation time of positive reals. In here we first introduce a notion of elastic skew Brownian motion and compute the corresponding Feynman-Kac formula. The result extends many of the formula known for Brownian motion due to Karatzas and Shreve, such as trivariate densities and arksine laws, to the case of skew Brownian motion. The problem was motivates by an application to advection-dispersion across an interface in heterogeneous porous media.