On the existence of a time inhomogeneous skew Brownian motion and some related laws
Résumé
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 investigate some laws related to the constructed process. In particular, using the description of the straddling excursion above a deterministic time, we compute the joint law of the process, its local time and its straddling time.
Domaines
Probabilités [math.PR]| Origine | Fichiers produits par l'(les) auteur(s) |
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