On the existence of a time inhomogeneous skew Brownian motion and some related laws

Details On the existence of a time inhomogeneous skew Brownian motion and some related laws On the existence of a time inhomogeneous skew Brownian motion and some related laws

2011-07-12

arxiv.org/abs/1107.2282v2

Mathematics

Probability

Scientific paper

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.

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