Gikhman, I.I. and Skorokhod, A.V. (1972) Stochastic Differential Equations. Springer-Verlag, New York, Heidelberg. https://doi.org/10.1007/978-3-642-88264-7
has been cited by the following article:
TITLE: The Arc-Sine Laws for the Skew Brownian Motion and Their Interpretation
AUTHORS: Ivan H. Krykun
KEYWORDS: Skew Brownian Motion, Local Time, Arc-Sine Law
JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.6 No.2, February 8, 2018
ABSTRACT: 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.