On the constructions of the skew Brownian motion

Antoine Lejay

doi:10.1214/154957807000000013

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Home > Journals > Probab. Surveys > Volume 3 > Article

2006 On the constructions of the skew Brownian motion

Antoine Lejay

Probab. Surveys 3: 413-466 (2006). DOI: 10.1214/154957807000000013

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Abstract

This article summarizes the various ways one may use to construct the Skew Brownian motion, and shows their connections. Recent applications of this process in modelling and numerical simulation motivates this survey. This article ends with a brief account of related results, extensions and applications of the Skew Brownian motion.

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Antoine Lejay. "On the constructions of the skew Brownian motion." Probab. Surveys 3 413 - 466, 2006. https://doi.org/10.1214/154957807000000013

Information

Published: 2006

First available in Project Euclid: 8 January 2007

zbMATH: 1189.60145

MathSciNet: MR2280299

Digital Object Identifier: 10.1214/154957807000000013

Subjects:

Primary: 60J60

Secondary: 60H10 , 60J55

Keywords: excursions of Brownian motion , mathematical modelling , Monte Carlo methods , PDE with singular drift , PDE with transmission condition , scale function and speed measure , SDE with local time , skew Brownian motion