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

  • David Dereudre , Sara Mazzonetto EMAIL logo and Sylvie Roelly

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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Received: 2015-9-8
Accepted: 2016-2-2
Published Online: 2016-2-17
Published in Print: 2016-3-1

© 2016 by De Gruyter

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