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On the time inhomogeneous skew Brownian motion
Skew Brownian motion Local times Stochastic differential equation balayage formula Skorokhod problem
2012/4/23
This paper is devoted to the construction of a solution for the "Inhomogenous skew Brownian motion" equation, which first appeared in a seminal paper by Sophie Weinryb, and recently, studied by \'{E}t...
On the existence of a time inhomogeneous skew Brownian motion and some related laws
time inhomogeneous skew Brownian motion Probability
2011/9/2
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 investigat...
Occupation and Local Times for Skew Brownian Motion with Applications to Dispersion Across an Interface
Skew Brownian motion advection-diffusion local time
2010/12/14
Advective skew dispersion is a natural Markov process defined by a diffusion with drift across an interface of jump discontinuity in a piecewise constant diffusion coefficient.
On the constructions of the skew Brownian motion
skew Brownian motion PDE with singular drift PDE with transmission condition SDE with local time excursions of Brownian motion
2009/5/18
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 motiv...