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math.PR2022
Skew Brownian motion with dry friction: joint density approach
Alexander Gairat, Vadim Shcherbakov
This note concerns distributions of Skew Brownian motion with dry friction and its occupation time. These distributions were obtained in [2] by using the Laplace transform and join…
math.PR2020
Discrete SIR model on a homogeneous tree and its continuous limit
Alexander Gairat, Vadim Shcherbakov
We study a discrete Susceptible-Infected-Recovered (SIR) model for the spread of infectious disease on a homogeneous tree and the limit behavior of the model in the case when the t…
math.PR2014★ 3 cited
Density of Skew Brownian motion and its functionals with application in finance
Alexander Gairat, Vadim Shcherbakov
We derive the joint density of a Skew Brownian motion, its last visit to the origin, local and occupation times. The result is applied to option pricing in a two valued local volat…