On the time inhomogeneous skew Brownian motion

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

zbMATH Keywords

stochastic differential equation; Skorokhod problem; local times; skew Brownian motion; Balayage formula

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

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