An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers (Q254492)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers |
scientific article |
Statements
An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers (English)
0 references
8 March 2016
0 references
skew Brownian motion
0 references
transition densities
0 references
semipermeable barriers
0 references
local time
0 references
rejection sampling
0 references
exact simulation
0 references
0 references
0 references
