Distance between two skew Brownian motions as a SDE with jumps and law of the hitting time
Distance between two skew Brownian motions as a SDE with jumps and law of the hitting time
In this paper, we consider two skew Brownian motions, driven by the same Brownian motion, with different starting points and different skewness coefficients. We show that we can describe the evolution of the distance between the two processes with a stochastic differential equation. This S.D.E. possesses a jump component driven …