inria-00000785, version 2
On the Constructions of the Skew Brownian Motion
Antoine Lejay
a, 1, 2
Probability Surveys 3 (2006) 413-466
Résumé : 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.
- a – INRIA
- 1 : OMEGA (INRIA Sophia Antipolis / INRIA Lorraine / IECN)
- CNRS : UMR7502 – INRIA – Université Henri Poincaré - Nancy I – Université Nancy II
- 2 : Institut Elie Cartan Nancy (IECN)
- CNRS : UMR7502 – INRIA – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine (INPL)
- Domaine : Mathématiques/Probabilités
- Mots-clés : 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 modelling – Monte Carlo methods
- Commentaire : http://www.imstat.org/
- Versions disponibles : v1 (18-11-2005) v2 (05-06-2007)
- inria-00000785, version 2
- http://hal.inria.fr/inria-00000785
- oai:hal.inria.fr:inria-00000785
- Contributeur : Antoine Lejay
- Soumis le : Mardi 5 Juin 2007, 16:31:02
- Dernière modification le : Mardi 5 Juin 2007, 17:09:16
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