arXiv:math/0701219 Abstract

arXiv:math/0701219 [math.PR]Abstract References Reviews Resources

On the constructions of the skew Brownian motion

Published 2007-01-08Version 1

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.

Comments: Published at http://dx.doi.org/10.1214/154957807000000013 in the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)

Journal: Probability Surveys 2006, Vol. 3, No. 0, 413-466

DOI: 10.1214/154957807000000013

Categories: math.PR

Subjects: 60J60, 60H10, 60J55

Keywords: skew brownian motion, constructions, brief account, applications, numerical simulation motivates

Tags: journal article

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