On the existence of a time inhomogeneous skew Brownian motion and some related laws - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2011

On the existence of a time inhomogeneous skew Brownian motion and some related laws

Pierre Etoré
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Résumé

This article is devoted to the construction of a solution for the "skew inhomogeneous Brownian motion" equation, which first appear in a seminal paper by Sophie Weinryb (1983). We investigate some laws related to the constructed process. In particular, using the description of the straddling excursion above a deterministic time, we compute the joint law of the process, its local time and its straddling time.
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Dates et versions

hal-00608221 , version 1 (12-07-2011)
hal-00608221 , version 2 (05-03-2012)

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Citer

Pierre Etoré, Miguel Martinez. On the existence of a time inhomogeneous skew Brownian motion and some related laws. 2011. ⟨hal-00608221v1⟩
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