On the time inhomogeneous skew Brownian motion
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Publication:390505
DOI10.1016/j.bulsci.2013.02.001zbMath1283.60088arXiv1204.0718MaRDI QIDQ390505
Youssef Ouknine, Siham Bouhadou
Publication date: 8 January 2014
Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1204.0718
stochastic differential equation; Skorokhod problem; local times; skew Brownian motion; Balayage formula
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J60: Diffusion processes
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