An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers

Author:

Dereudre David,Mazzonetto Sara,Roelly Sylvie

Abstract

AbstractIn this paper, we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover, we propose a rejection sampling method to simulate this density in an

Funder

Deutsch-Französische Hochschule – Université Franco-Allemande (DFH-UFA)

Stochastic Analysis with Applications in Biology, Finance and Physics

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Statistics and Probability

Reference10 articles.

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