@article{EJP1858,
author = {Pierre Étoré and Miguel Martinez},
title = {On the existence of a time inhomogeneous skew Brownian motion and some related laws},
journal = {Electron. J. Probab.},
fjournal = {Electronic Journal of Probability},
volume = {17},
year = {2012},
keywords = {Skew Brownian motion ; Local time ; Straddling excursion},
abstract = {This article is devoted to the construction of a solution for the "skew inhomogeneous Brownian motion" equation, which first appear in a seminal paper by Sophie Weinryb (1983). We investigate some laws related to the constructed process. In particular, using the description of the straddling excursion above a deterministic time, we compute the joint law of the process, its local time and its straddling time.},
pages = {no. 19, 1-27},
issn = {1083-6489},
doi = {10.1214/EJP.v17-1858},
url = {http://ejp.ejpecp.org/article/view/1858}}