2 papers
math.PR2026
De Finetti's Control for Refracted Skew Brownian Motion
Zhongqin Gao, Yan Lv, Xiaowen Zhou
In this paper we propose a refracted skew Brownian motion as a risk model with endogenous regime switching, which generalizes the refracted diffusion risk process introduced by Ger…
math.PR2025
A note on Refracted Skew Brownian Motion with an application
Zaniar Ahmadi, Xiaowen Zhou
For refracted skew Brownian motion (skew Brownian motion with two-valued drift), adopting a perturbation approach we find expressions of its potential densities. As applications, w…