{
  "id": "1509.02846",
  "version": "v1",
  "published": "2015-09-09T16:44:14.000Z",
  "updated": "2015-09-09T16:44:14.000Z",
  "title": "An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers",
  "authors": [
    "David Dereudre",
    "Sara Mazzonetto",
    "Sylvie Roelly"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2015-09-09T16:44:14.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "transition density",
      "explicit representation",
      "semipermeable barriers",
      "one-dimensional skew brownian motion",
      "constant drift"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}