An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
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🧮 math.PR
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barriersbrowniandensitydriftexplicitmotionrepresentationsemipermeable
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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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