On the time inhomogeneous skew Brownian motion
Probability
2012-04-05 v2
Abstract
This paper is devoted to the construction of a solution for the "Inhomogenous skew Brownian motion" equation, which first appeared in a seminal paper by Sophie Weinryb, and recently, studied by \'{E}tor\'e and Martinez. Our method is based on the use of the Balayage formula. At the end of this paper we study a limit theorem of solutions.
Keywords
Cite
@article{arxiv.1204.0718,
title = {On the time inhomogeneous skew Brownian motion},
author = {S. Bouhadou and Y. Ouknine},
journal= {arXiv preprint arXiv:1204.0718},
year = {2012}
}