On the time inhomogeneous skew Brownian motion
classification
🧮 math.PR
keywords
brownianmotionskewappearedbalayageconstructiondevotedequation
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This paper is devoted to the construction of a solution for the "Inhomogenous skew Brownian motion" equation, which first appeared in a seminal paper by Sophie Weinryb, and recently, studied by \'{E}tor\'e and Martinez. Our method is based on the use of the Balayage formula. At the end of this paper we study a limit theorem of solutions.
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