Abstract
In 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 exact way.
Funding source: Deutsch-Französische Hochschule – Université Franco-Allemande (DFH-UFA)
Funding source: Stochastic Analysis with Applications in Biology, Finance and Physics
Award Identifier / Grant number: RTG 1845
The authors would like to thank Patrick Cattiaux, Markus Klein, Andrey Pilipenko and Lionel Lenôtre for the interesting discussions.
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