On the Constructions of the Skew Brownian Motion

Antoine Lejay 1, 2
1 OMEGA - Probabilistic numerical methods
CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, CNRS - Centre National de la Recherche Scientifique : UMR7502
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. Probability Surveys, Institute of Mathematical Statistics (IMS), 2006, 3, pp.413-466. ⟨10.1214/154957807000000013⟩. ⟨inria-00000785v2⟩

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