On the multi-dimensional skew Brownian motion
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🧮 math.PR
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brownianmotionskewapplicationcollisionsconcisedifferentialequation
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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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