On the constructions of the skew Brownian motion

DOI10.1214/154957807000000013zbMath1189.60145arXivmath/0701219OpenAlexW3099630887MaRDI QIDQ980760

Antoine Lejay

Publication date: 29 June 2010

Published in: Probability Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0701219

zbMATH Keywords

Monte Carlo methodsexcursions of Brownian motionmathematical modelingskew Brownian motionPDE with singular driftPDE with transmission conditionscale function and speed measureSDE with local time

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Local time and additive functionals (60J55) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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