| Título: | On the existence of a time inhomogeneous skew Brownian motion and some related laws |
| Autores: |
Étoré, Pierre; Université de Grenoble Martinez, Miguel; Université Paris-Est Marne-la-Vallée |
| Fecha: | 2012-01-01 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: | Peer-reviewed Article |
| Tema: |
Skew Brownian motion ; Local time ; Straddling excursion 60Gxx ; 60J55 |
| Descripción: | 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. |
| Idioma: | Inglés |
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