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

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.

preprint2012arXivOpen access
Pierre EtoreM. Martinez
math.PR
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Open access2 authors1 topic
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
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Pierre EtoreM. Martinez

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