On the existence of a time inhomogeneous skew Brownian motion and some related laws
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Publication:428629
DOI10.1214/EJP.V17-1858zbMATH Open1245.60077arXiv1107.2282MaRDI QIDQ428629
Author name not available (Why is that?)
Publication date: 22 June 2012
Published in: (Search for Journal in Brave)
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 investigate some laws related to the constructed process. In particular, using the description of the straddling excursion above a deterministic time, we compute the joint law of the process, its local time and its straddling time.
Full work available at URL: https://arxiv.org/abs/1107.2282
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