On the constructions of the skew Brownian motion

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.

Published at http://dx.doi.org/10.1214/154957807000000013 in the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)

References in corpus (3)

• A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
• On stochastic continuity of generalized diffusion processes constructed as the strong solution to an SDE
• On the Markov property of strong solutions to SDE with generalized coefficients

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