On the multi-dimensional skew Brownian motion

We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic collisions.

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Year of publication:	2015
Authors:	Atar, Rami ; Budhiraja, Amarjit
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 125.2015, 5, p. 1911-1925
Publisher:	Elsevier
Subject:	Skew Brownian motion \| SDE with local time \| Singular diffusion processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011209777