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An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers. (English) Zbl 1335.60151
Summary: 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 sampling method to simulate this density in an exact way.

MSC:
60J65 Brownian motion
60J35 Transition functions, generators and resolvents
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
65C20 Probabilistic models, generic numerical methods in probability and statistics
68U20 Simulation (MSC2010)
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