{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,17]],"date-time":"2025-10-17T13:42:22Z","timestamp":1760708542609,"version":"build-2065373602"},"reference-count":23,"publisher":"Walter de Gruyter GmbH","issue":"1","funder":[{"name":"Deutsch-Franz\u00f6sische Hochschule \u2013 Universit\u00e9 Franco-Allemande"},{"name":"Stochastic Analysis with Applications in Biology, Finance and Physics","award":["RTG 1845"],"award-info":[{"award-number":["RTG 1845"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2016,3,1]]},"abstract":"<jats:title>Abstract<\/jats:title>\n               <jats:p>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 <jats:italic>exact<\/jats:italic> way.<\/jats:p>","DOI":"10.1515\/mcma-2016-0100","type":"journal-article","created":{"date-parts":[[2016,2,17]],"date-time":"2016-02-17T09:05:33Z","timestamp":1455699933000},"page":"1-23","source":"Crossref","is-referenced-by-count":9,"title":["An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers"],"prefix":"10.1515","volume":"22","author":[{"given":"David","family":"Dereudre","sequence":"first","affiliation":[{"name":"Laboratoire de Math\u00e9matiques Paul Painlev\u00e9, UMR CNRS 8524, Universit\u00e9 Lille1, 59655 Villeneuve d'Ascq Cedex, France"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Sara","family":"Mazzonetto","sequence":"additional","affiliation":[{"name":"Institut f\u00fcr Mathematik der Universit\u00e4t Potsdam, Science Park Golm, Karl-Liebknecht-Str. 24\/25, 14476 Potsdam Golm, Germany; and Laboratoire de Math\u00e9matiques Paul Painlev\u00e9, UMR CNRS 8524, Universit\u00e9 Lille1, 59655 Villeneuve d'Ascq Cedex, France"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Sylvie","family":"Roelly","sequence":"additional","affiliation":[{"name":"Institut f\u00fcr Mathematik der Universit\u00e4t Potsdam, Science Park Golm, Karl-Liebknecht-Str. 24\/25, 14476 Potsdam Golm, Germany"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"374","published-online":{"date-parts":[[2016,2,17]]},"reference":[{"key":"2025101713045261913_j_mcma-2016-0100_ref_000_w2aab2b8b2b1b7b1ab1b1b1Aa","doi-asserted-by":"crossref","unstructured":"T. Appuhamillage and D. Sheldon,\nFirst passage time of skew Brownian motion,\nJ. Appl. Probab. 49 (2012), 3, 685\u2013696.","DOI":"10.1239\/jap\/1346955326"},{"key":"2025101713045261913_j_mcma-2016-0100_ref_001_w2aab2b8b2b1b7b1ab1b1b2Aa","doi-asserted-by":"crossref","unstructured":"R. Atar and A. Budhiraja,\nOn the multi-dimensional skew Brownian motion,\nStochastic Process. Appl. 125 (2015), 5, 1911\u20131925.","DOI":"10.1016\/j.spa.2014.12.001"},{"key":"2025101713045261913_j_mcma-2016-0100_ref_002_w2aab2b8b2b1b7b1ab1b1b3Aa","doi-asserted-by":"crossref","unstructured":"A.-N. Borodin and P. Salminen,\nHandbook of Brownian Motion: Facts and Formulae,\nProbab. Appl.,\nBirkh\u00e4user, Basel, 2002.","DOI":"10.1007\/978-3-0348-8163-0"},{"key":"2025101713045261913_j_mcma-2016-0100_ref_003_w2aab2b8b2b1b7b1ab1b1b4Aa","unstructured":"D. Dereudre, S. Mazzonetto and S. Roelly,\nExact simulation of Brownian diffusions with drift with several jumps,\nin progress."},{"key":"2025101713045261913_j_mcma-2016-0100_ref_004_w2aab2b8b2b1b7b1ab1b1b5Aa","doi-asserted-by":"crossref","unstructured":"P. \u00c9tor\u00e9,\nApproximation of one-dimensional diffusion processes with discontinuous coefficients and applications to simulation,\nPh.D. thesis, University of Nancy, 2006.","DOI":"10.1214\/EJP.v11-311"},{"key":"2025101713045261913_j_mcma-2016-0100_ref_005_w2aab2b8b2b1b7b1ab1b1b6Aa","doi-asserted-by":"crossref","unstructured":"P. \u00c9tor\u00e9 and M. Martinez,\nExact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process,\nMonte Carlo Methods Appl. 19 (2013), 1, 41\u201371.","DOI":"10.1515\/mcma-2013-0002"},{"key":"2025101713045261913_j_mcma-2016-0100_ref_006_w2aab2b8b2b1b7b1ab1b1b7Aa","doi-asserted-by":"crossref","unstructured":"M. Fukushima, Y. Oshima and M. Takeda,\nDirichlet Forms and Symmetric Markov Processes,\nde Gruyter Stud. Math.,\nDe Gruyter, Berlin, 2010.","DOI":"10.1515\/9783110218091"},{"key":"2025101713045261913_j_mcma-2016-0100_ref_007_w2aab2b8b2b1b7b1ab1b1b8Aa","doi-asserted-by":"crossref","unstructured":"B. Gaveau, M. Okada and T. Okada,\nSecond order differential operators and Dirichlet integrals with singular coefficients I. Functional calculus of one-dimensional operators,\nTohoku Math. J. (2) 39 (1987), 4, 465\u2013504.","DOI":"10.2748\/tmj\/1178228238"},{"key":"2025101713045261913_j_mcma-2016-0100_ref_008_w2aab2b8b2b1b7b1ab1b1b9Aa","doi-asserted-by":"crossref","unstructured":"J.-M. Harrison and L.-A. Shepp,\nOn skew Brownian motion,\nAnn. Probab. 9 (1981), 2, 309\u2013313.","DOI":"10.1214\/aop\/1176994472"},{"key":"2025101713045261913_j_mcma-2016-0100_ref_009_w2aab2b8b2b1b7b1ab1b1c10Aa","unstructured":"K. It\u014d and H.-P. McKean,\nDiffusion Processes and Their Sample Paths,\nAcademic Press, New York, 1965."},{"key":"2025101713045261913_j_mcma-2016-0100_ref_010_w2aab2b8b2b1b7b1ab1b1c11Aa","doi-asserted-by":"crossref","unstructured":"J.-F. Le Gall,\nOne-dimensional stochastic differential equations involving the local times of the unknown process,\nStochastic Analysis and Applications (Swansea 1983),\nLecture Notes in Math. 1095,\nSpringer, Berlin (1984), 51\u201382.","DOI":"10.1007\/BFb0099122"},{"key":"2025101713045261913_j_mcma-2016-0100_ref_011_w2aab2b8b2b1b7b1ab1b1c12Aa","doi-asserted-by":"crossref","unstructured":"A. Lejay,\nOn the constructions of the skew Brownian motion,\nProbab. Surv. 3 (2006), 413\u2013466.","DOI":"10.1214\/154957807000000013"},{"key":"2025101713045261913_j_mcma-2016-0100_ref_012_w2aab2b8b2b1b7b1ab1b1c13Aa","unstructured":"A. Lejay, L. Len\u00f4tre and G. 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Soc. 139 (2011), 10, 3739\u20133752.","DOI":"10.1090\/S0002-9939-2011-10766-4"},{"key":"2025101713045261913_j_mcma-2016-0100_ref_019_w2aab2b8b2b1b7b1ab1b1c20Aa","unstructured":"M. Renardy and R. C. Rogers,\nAn Introduction to Partial Differential Equations,\nTexts Appl. Math.,\nSpringer, New York, 2006."},{"key":"2025101713045261913_j_mcma-2016-0100_ref_020_w2aab2b8b2b1b7b1ab1b1c21Aa","unstructured":"S.-M. Ross,\nSimulation,\nAcademic Press, New York, 2013."},{"key":"2025101713045261913_j_mcma-2016-0100_ref_021_w2aab2b8b2b1b7b1ab1b1c22Aa","doi-asserted-by":"crossref","unstructured":"D. Veestraeten,\nThe conditional probability density function for a reflected Brownian motion,\nComput. Econ. 24 (2004), 2, 185\u2013207.","DOI":"10.1023\/B:CSEM.0000049491.13935.af"},{"key":"2025101713045261913_j_mcma-2016-0100_ref_022_w2aab2b8b2b1b7b1ab1b1c23Aa","unstructured":"J. von Neumann,\nVarious techniques used in connection with random digits. Monte Carlo methods,\nNatl. Bureau Standards 12 (1951), 36\u201338."}],"container-title":["Monte Carlo Methods and Applications"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.degruyterbrill.com\/document\/doi\/10.1515\/mcma-2016-0100\/xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.degruyterbrill.com\/document\/doi\/10.1515\/mcma-2016-0100\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,17]],"date-time":"2025-10-17T13:05:08Z","timestamp":1760706308000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.degruyterbrill.com\/document\/doi\/10.1515\/mcma-2016-0100\/html"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2016,2,17]]},"references-count":23,"journal-issue":{"issue":"1","published-online":{"date-parts":[[2016,2,17]]},"published-print":{"date-parts":[[2016,3,1]]}},"alternative-id":["10.1515\/mcma-2016-0100"],"URL":"https:\/\/doi.org\/10.1515\/mcma-2016-0100","relation":{},"ISSN":["0929-9629","1569-3961"],"issn-type":[{"type":"print","value":"0929-9629"},{"type":"electronic","value":"1569-3961"}],"subject":[],"published":{"date-parts":[[2016,2,17]]}}}