An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers

Abstract

In this paper, we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover we propose a rejection method to simulate this density in an exact way.

References in corpus (2)

• A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
• On countably skewed Brownian motion with accumulation point