On the constructions of the skew Brownian motion
From MaRDI portal
Publication:980760
DOI10.1214/154957807000000013zbMath1189.60145arXivmath/0701219OpenAlexW3099630887MaRDI QIDQ980760
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
Monte Carlo methodsexcursions of Brownian motionmathematical modelingskew Brownian motionPDE with singular driftPDE with transmission conditionscale function and speed measureSDE with local time
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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