We consider the skew Brownian motion as a solution of some stochastic differential equation. We prove for the skew Brownian motion the analogues of the arc-sine laws for Wiener process. Unlike of existing results, we ...We consider the skew Brownian motion as a solution of some stochastic differential equation. We prove for the skew Brownian motion the analogues of the arc-sine laws for Wiener process. Unlike of existing results, we are forced to consider a stochastic differential equation with discontinuous diffusion coefficient. Possible interpretations of obtained results are suggested.展开更多
We show that higher-dimensional integrable systems including the (2+1)-dimensional generalized sine-Gordon equation and the (2+1)-dimensional complex mKdV equation are associated with motions of surfaces inducedby end...We show that higher-dimensional integrable systems including the (2+1)-dimensional generalized sine-Gordon equation and the (2+1)-dimensional complex mKdV equation are associated with motions of surfaces inducedby endowing with an extra space variable to the motions of curves on S^2(R) and S^3(R).展开更多
文摘We consider the skew Brownian motion as a solution of some stochastic differential equation. We prove for the skew Brownian motion the analogues of the arc-sine laws for Wiener process. Unlike of existing results, we are forced to consider a stochastic differential equation with discontinuous diffusion coefficient. Possible interpretations of obtained results are suggested.
基金National Natural Science Foundation of China under Grant No.10671156the Program for New Century Excellent Talents in Universities under Grant No.NCET-04-0968
文摘We show that higher-dimensional integrable systems including the (2+1)-dimensional generalized sine-Gordon equation and the (2+1)-dimensional complex mKdV equation are associated with motions of surfaces inducedby endowing with an extra space variable to the motions of curves on S^2(R) and S^3(R).