On the constructions of the skew Brownian motion

By Antoine Lejay. 2007

269 citations recorded by the source corpus.

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.

Subfields: Finance, Management Information Systems, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/168454c42951cf15ce644085ca1a7d4d818ce68a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. A. Gairat
2. Vadim Shcherbakov

In Management Information Systems

1. A. Gairat
2. Vadim Shcherbakov

In Management Science and Operations Research

1. A. Gairat
2. Vadim Shcherbakov

Citations in the corpus

• DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE (2014, methodology): “We refer for details to, for example, [17] and references therein.”