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

Author

Listed:
  • Dereudre David

    (Laboratoire de Mathématiques Paul Painlevé, UMR CNRS 8524, Université Lille1, 59655 Villeneuve d'Ascq Cedex, France)

  • Mazzonetto Sara

    (Institut für Mathematik der Universität Potsdam, Science Park Golm, Karl-Liebknecht-Str. 24/25, 14476 Potsdam Golm, Germany; and Laboratoire de Mathématiques Paul Painlevé, UMR CNRS 8524, Université Lille1, 59655 Villeneuve d'Ascq Cedex, France)

  • Roelly Sylvie

    (Institut für Mathematik der Universität Potsdam, Science Park Golm, Karl-Liebknecht-Str. 24/25, 14476 Potsdam Golm, Germany)

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.

Suggested Citation

  • Dereudre David & Mazzonetto Sara & Roelly Sylvie, 2016. "An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers," Monte Carlo Methods and Applications, De Gruyter, vol. 22(1), pages 1-23, March.
    • Handle: RePEc:bpj:mcmeap:v:22:y:2016:i:1:p:1-23:n:1
    DOI: 10.1515/mcma-2016-0100
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    References listed on IDEAS

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    1. Dirk Veestraeten, 2004. "The Conditional Probability Density Function for a Reflected Brownian Motion," Computational Economics, Springer;Society for Computational Economics, vol. 24(2), pages 185-207, September.
    2. Atar, Rami & Budhiraja, Amarjit, 2015. "On the multi-dimensional skew Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 125(5), pages 1911-1925.
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