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2012 On the existence of a time inhomogeneous skew Brownian motion and some related laws
Pierre Étoré, Miguel Martinez
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Electron. J. Probab. 17: 1-27 (2012). DOI: 10.1214/EJP.v17-1858

Abstract

This article is devoted to the construction of a solution for the "skew inhomogeneous Brownian motion" equation, which first appear in a seminal paper by Sophie Weinryb (1983). We investigate some laws related to the constructed process. In particular, using the description of the straddling excursion above a deterministic time, we compute the joint law of the process, its local time and its straddling time.

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Pierre Étoré. Miguel Martinez. "On the existence of a time inhomogeneous skew Brownian motion and some related laws." Electron. J. Probab. 17 1 - 27, 2012. https://doi.org/10.1214/EJP.v17-1858

Information

Accepted: 9 March 2012; Published: 2012
First available in Project Euclid: 4 June 2016

zbMATH: 1245.60077
MathSciNet: MR2900460
Digital Object Identifier: 10.1214/EJP.v17-1858

Subjects:
Primary: 60GXX
Secondary: 60J55

JOURNAL ARTICLE
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Vol.17 • 2012
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