On the multi-dimensional skew Brownian motion
Probability
2014-02-25 v1
Abstract
We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic collisions.
Cite
@article{arxiv.1402.5703,
title = {On the multi-dimensional skew Brownian motion},
author = {Rami Atar and Amarjit Budhiraja},
journal= {arXiv preprint arXiv:1402.5703},
year = {2014}
}