M. Abramowitz and I. A. Stegun, Handbook of mathematical functions with formulas, graphs, and mathematical tables, National Bureau of Standards Applied Mathematics Series. For sale by the Superintendent of Documents, U.S. Government Printing Office, vol.55, 1972.

M. Barlow, K. Burdzy, H. Kaspi, and A. Mandelbaum, Coalescence of Skew Brownian Motions, Séminaire de Probabilités, XXXV, pp.202-205, 2001.
DOI : 10.1007/978-3-540-44671-2_15

F. Richard, Z. Bass, and . Chen, One-dimensional stochastic differential equations with singular and degenerate coefficients. Sankhy¯ a, pp.19-45, 2005.

K. Burdzy, Differentiability of Stochastic Flow of Reflected Brownian Motions, Electronic Journal of Probability, vol.14, issue.0, pp.2182-2240, 2009.
DOI : 10.1214/EJP.v14-700

K. Burdzy and Z. Chen, Local time flow related to skew Brownian motion, Ann. Probab, vol.29, issue.4, pp.1693-1715, 2001.

K. Burdzy, Z. Chen, and P. Jones, Synchronous couplings of reflected Brownian motions in smooth domains, Illinois J. Math, vol.50, issue.1-4, pp.189-268, 2006.

Y. Chen, C. Lee, and Y. Sheu, An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model, Finance and Stochastics, vol.30, issue.3, pp.323-355, 2007.
DOI : 10.1007/s00780-007-0045-5

M. Cranston and Y. Le, On the noncoalescence of a two point Brownian motion reflecting on a circle, Ann. Inst. H. Poincaré Probab. Statist, vol.25, issue.2, pp.99-107, 1989.

R. J. Elliott, A continuous time Kronecker's lemma and martingale convergence. Stochastic Anal, Appl, vol.19, issue.3, pp.433-437, 2001.
DOI : 10.1081/sap-100002020

J. M. Harrison and L. A. Shepp, On Skew Brownian Motion, The Annals of Probability, vol.9, issue.2, pp.309-313, 1981.
DOI : 10.1214/aop/1176994472

J. Jacod and A. N. Shiryaev, Limit theorems for stochastic processes, of Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences, 1987.
DOI : 10.1007/978-3-662-02514-7

A. Lejay, On the constructions of the skew Brownian motion, Probability Surveys, vol.3, issue.0, pp.413-466, 2006.
DOI : 10.1214/154957807000000013

URL : https://hal.archives-ouvertes.fr/inria-00000785

D. Revuz and M. Yor, Continuous martingales and Brownian motion, 1999.