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On the constructions of the skew Brownian motion. (English) Zbl 1189.60145

Summary: This article summarizes the various ways one may use to construct the Skew Brownian motion, and shows their connections. Recent applications of this process in modeling and numerical simulation motivates this survey. This article ends with a brief account of related results, extensions and applications of the skew Brownian motion.

MSC:

60J60 Diffusion processes
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60J55 Local time and additive functionals
60J65 Brownian motion
60-02 Research exposition (monographs, survey articles) pertaining to probability theory
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