An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers

David Dereudre, Sara Mazzonetto, Sylvie Roelly

Published 2015-09-09Version 1

In this paper, we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover we propose a rejection method to simulate this density in an exact way.