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Publication:3472950
zbMath0696.60080MaRDI QIDQ3472950
Publication date: 1990
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
stochastic differential equationBrownian motiontransition densitylocal timesemimartingalesingular processes
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Local time and additive functionals (60J55)
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First Passage Time of Skew Brownian Motion ⋮ Occupation and local times for skew Brownian motion with applications to dispersion across an interface ⋮ Statistical estimation for reflected skew processes ⋮ Unnamed Item ⋮ Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero ⋮ Some parabolic PDEs whose drift is an irregular random noise in space ⋮ Skew Brownian diffusions across Koch interfaces ⋮ Exact Simulation of Brownian Diffusions with Drift Admitting Jumps ⋮ Advection-dispersion across interfaces ⋮ Construction of a fundamental solution of a partial differential equation with piecewise constant coefficients ⋮ Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient ⋮ An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
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