Perturbed Skew Diffusion Processes

Abstract

This work investigates whether there uniquely exists a solution to the perturbed skew diffusion process. We construct the solution by iteration and divide the whole time interval into parts on which we disperse the perturbed skew diffusion process into two tractable portions, one for perturbed diffusion process, the other for skew diffusion process. After this disposition, we only focus on the process in each time interval. Noticing the continuity on every time interval boundaries generalized by a sequence of stopping times, we acquire the main result of this paper as well as a time change for the perturbed skew process.

Keywords

• skew diffusion process
• perturbed diffusion process
• perturbed skew diffusion process
• local time
• change in time