On the constructions of the skew Brownian motion

Details On the constructions of the skew Brownian motion On the constructions of the skew Brownian motion

2007-01-08

arxiv.org/abs/math/0701219v1

Probability Surveys 2006, Vol. 3, No. 0, 413-466

Mathematics

Probability

Published at http://dx.doi.org/10.1214/154957807000000013 in the Probability Surveys (http://www.i-journals.org/ps/) by the In

Scientific paper

10.1214/154957807000000013

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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