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Journal Articles Probability Surveys Year : 2006

On the Constructions of the Skew Brownian Motion

Abstract

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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Dates and versions

inria-00000785 , version 1 (03-12-2005)
inria-00000785 , version 2 (05-06-2007)

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Antoine Lejay. On the Constructions of the Skew Brownian Motion. Probability Surveys, 2006, 3, pp.413-466. ⟨10.1214/154957807000000013⟩. ⟨inria-00000785v2⟩
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