On the multi-dimensional skew Brownian motion

2014/02/24 by Atar, Rami, Budhiraja, Amarjit
#60H10(Primary) #60J55(Secondary) #60J60(Primary) #93E15(Secondary) #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1402.5703

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.

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