On the time inhomogeneous skew Brownian motion

Details On the time inhomogeneous skew Brownian motion On the time inhomogeneous skew Brownian motion

2012-04-03

arxiv.org/abs/1204.0718v2

Mathematics

Probability

Scientific paper

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}tor\'e and Martinez. Our method
is based on the use of the Balayage formula. At the end of this paper we study
a limit theorem of solutions.

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