On the multi-dimensional skew Brownian motion

DOI10.1016/j.spa.2014.12.001zbMath1328.60133arXiv1402.5703OpenAlexW2031941114MaRDI QIDQ2018564

Rami Atar, Amarjit Budhiraja

Publication date: 24 March 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.5703

zbMATH Keywords

stochastic differential equationlocal timeskew Brownian motionsingular diffusion processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stochastic stability in control theory (93E15) Diffusion processes (60J60) Local time and additive functionals (60J55)

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Cites Work

• On the uniqueness of solutions of stochastic differential equations with singular drifts
• On the constructions of the skew Brownian motion
• On the existence of solutions of stochastic differential equations with singular drifts
• On skew Brownian motion
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Two Brownian particles with rank-based characteristics and skew-elastic collisions
• Stochastic differential equations with reflecting boundary conditions
• Some singular diffusion processes and their associated stochastic differential equations
• Small Random perturbation of dynamical systems with reflecting boundary
• Local Sojourn Time of Diffusion and Degenerating Processeson a Mobile Surface
• On the stochastic regularity of distorted Brownian motions
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