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math.PR2011
On the existence of a time inhomogeneous skew Brownian motion and some related laws
Pierre Etore, M. Martinez
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…
math.PR2011★ 4 cited
Exact Simulation of One-dimensional Stochastic Differential Equations involving the local time at zero of the unknown process
Pierre Etore, Miguel Martinez
In this article we extend the exact simulation methods of Beskos et al. to the solutions of one-dimensional stochastic differential equations involving the local time of the unknow…