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arXiv · 1402.5703

On the multi-dimensional skew Brownian motion

Rami Atar·Amarjit Budhiraja
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Abstract

We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic collisions.

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Rami Atar, Amarjit Budhiraja. 2014-02-24. On the multi-dimensional skew Brownian motion. https://arxiv.org/abs/1402.5703

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