An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers (Q254492)
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scientific article; zbMATH DE number 6551878
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| English | An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers |
scientific article; zbMATH DE number 6551878 |
Statements
An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers (English)
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8 March 2016
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skew Brownian motion
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transition densities
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semipermeable barriers
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local time
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rejection sampling
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exact simulation
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0.9054694
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0.8481457
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0.84776485
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0.8400926
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0.8395412
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0.8350468
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0.83491284
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0.8346544
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0.83356804
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