On the constructions of the skew Brownian motion

2006174 citationsJournal Articlegold Open Access

Authors

Antoine Lejay · Institut de l'Information Scientifique et Technique

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.

Topics & Keywords

Stochastic processes and financial applications Probability and Risk Models Advanced Queuing Theory Analysis

Publication Details

Published in: Probability Surveys

Volume 3, Issue none

DOI: 10.1214/154957807000000013

Field-Weighted Citation Impact: 1.23

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On the constructions of the skew Brownian motion

Authors

Abstract

Topics & Keywords

Publication Details