Work

On the constructions of the skew Brownian motion

Year: 2006

Type: article

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.

Source: Probability Surveys

DOI: 10.1214/154957807000000013

Author: Antoine Lejay

Institution: Institut Élie Cartan de Lorraine

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

Funders: Centre National de la Recherche Scientifique, Bureau de Recherches Géologiques et Minières