TY  - INPR
A1  - Dereudre, David
A1  - Mazzonetto, Sara
A1  - Roelly, Sylvie
T1  - An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
N2  - 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.
T3  - Preprints des Instituts für Mathematik der Universität Potsdam - 4 (2015) 9 
KW  - skew Brownian motion
KW  - semipermeable barriers
KW  - distorted Brownian motion
KW  - local time
KW  - rejection sampling
KW  - exact simulation
Y1  - 2015
UR  - https://publishup.uni-potsdam.de/frontdoor/index/index/docId/8061
UR  - https://nbn-resolving.org/urn:nbn:de:kobv:517-opus4-80613
SN  - 2193-6943
VL  - 4
IS  - 9
PB  - Universitätsverlag Potsdam
CY  - Potsdam
ER  -