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On the time inhomogeneous skew Brownian motion
Skew Brownian motion Local times Stochastic differential equation balayage formula Skorokhod problem
2012/4/23
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}t...
On the existence of a time inhomogeneous skew Brownian motion and some related laws
time inhomogeneous skew Brownian motion Probability
2011/9/2
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 investigat...
Occupation and Local Times for Skew Brownian Motion with Applications to Dispersion Across an Interface
Skew Brownian motion advection-diffusion local time
2010/12/14
Advective skew dispersion is a natural Markov process defined by a diffusion with drift across an interface of jump discontinuity in a piecewise constant diffusion coefficient.