Local time flow related to skew Brownian motion.

DOI10.1214/aop/1015345768zbMath1037.60057OpenAlexW1983831812MaRDI QIDQ1872243

Zhen-Qing Chen, Krzysztof Burdzy

Publication date: 6 May 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1015345768

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Related Items (13)

Shy couplings ⋮ Distance between two skew Brownian motions as a S.D.E. With jumps and law of the hitting time ⋮ Timing in the presence of directional predictability: optimal stopping of skew Brownian motion ⋮ Fechner’s Distribution and Connections to Skew Brownian Motion ⋮ Occupation and local times for skew Brownian motion with applications to dispersion across an interface ⋮ Diffusions on a space of interval partitions: the two-parameter model ⋮ Ray-Knight theorems related to a stochastic flow ⋮ Limit theorems for local and occupation times of random walks and Brownian motion on a spider ⋮ Bouncing skew Brownian motions ⋮ Squared Bessel processes of positive and negative dimension embedded in Brownian local times ⋮ Lenses in skew Brownian flow ⋮ One-dimensional heat equation with discontinuous conductance ⋮ On the local time process of a skew Brownian motion

Cites Work

• On skew Brownian motion
• Stochastic bifurcation models
• On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations
• Diffusions and Elliptic Operators
• A construction of markov processes by piecing out
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