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2006 On the constructions of the skew Brownian motion
Antoine Lejay
Probab. Surveys 3: 413-466 (2006). DOI: 10.1214/154957807000000013

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

Rights: Copyright © 2006 The Institute of Mathematical Statistics and the Bernoulli Society

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