Explicit representation and simulation from the transition densities of a Skew Brownian motion with two semipermeable barriers.

07.07.2015, 14:15-15:45  –  Am Neuen Palais, Haus 22 Raum 1.27
Forschungsseminar Wahrscheinlichkeitstheorie

Sara Mazzonetto (Potsdam/Lille)

In this talk an explicit representation of the transition densities of real-valued Brownian dynamics undergoing their motion through semipermeable barriers will be presented. The technique we used requires a fine analysis of the semigroup. Finally a generalised rejection sampling method for sampling such densities will be proposed.