On the time inhomogeneous skew Brownian motion

2012/04/03 by Siham Bouhadou, Bouhadou, S., Youssef Ouknine +1
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1204.0718

openalex publication_date 2012/04/03 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper is devoted to the construction of a solution for the "Inhomogenous skew Brownian motion" equation, which first appeared in a seminal paper by Sophie Weinryb, and recently, studied by Étoré and Martinez. Our method is based on the use of the Balayage formula. At the end of this paper we study a limit theorem of solutions.

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