On the constructions of the skew Brownian motion.

Lejay, Antoine. "On the constructions of the skew Brownian motion.." Probability Surveys [electronic only] 3 (2006): 413-466. <http://eudml.org/doc/227303>.

@article{Lejay2006,
author = {Lejay, Antoine},
journal = {Probability Surveys [electronic only]},
keywords = {skew Brownian motion; PDE with singular drift; PDE with transmission condition; SDE with local time; excursions of Brownian motion; scale function and speed measure; mathematical modeling; Monte Carlo methods},
language = {eng},
pages = {413-466},
publisher = {Sponsored by Institute of Mathematical Statistics and by the Bernoulli Society},
title = {On the constructions of the skew Brownian motion.},
url = {http://eudml.org/doc/227303},
volume = {3},
year = {2006},
}

TY - JOUR
AU - Lejay, Antoine
TI - On the constructions of the skew Brownian motion.
JO - Probability Surveys [electronic only]
PY - 2006
PB - Sponsored by Institute of Mathematical Statistics and by the Bernoulli Society
VL - 3
SP - 413
EP - 466
LA - eng
KW - skew Brownian motion; PDE with singular drift; PDE with transmission condition; SDE with local time; excursions of Brownian motion; scale function and speed measure; mathematical modeling; Monte Carlo methods
UR - http://eudml.org/doc/227303
ER -