A note on Skew Brownian Motion with two-valued drift and an application

Zaniar Ahmadi, Xiaowen Zhou

Published 2024-07-12Version 1

For skew Brownian motion with two-valued drift, adopting a perturbation approach we find expressions of its potential densities. As applications, we recover its transition density and study its long-time asymptotic behaviors. We also compare with previous results on transition densities for skew Brownian motions. We propose two approaches for generating quasi-random samples by approximating the cumulative distribution function and discussing their risk measurement application.