On the multi-dimensional skew Brownian motion

Rami Atar and Amarjit Budhiraja

Stochastic Processes and their Applications, 2015, vol. 125, issue 5, 1911-1925

Abstract: 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.

Keywords: Skew Brownian motion; SDE with local time; Singular diffusion processes (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spa.2014.12.001

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