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An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers (1509.02846v1)

Published 9 Sep 2015 in math.PR

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 method to simulate this density in an exact way.

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