Conditional law and occupation times of two-sided sticky Brownian motion

DOI10.1016/J.SPL.2020.108856zbMath1450.60044arXiv1910.10213OpenAlexW2981693812MaRDI QIDQ2197624

Bugra Can, Mine Caglar

Publication date: 1 September 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.10213

zbMATH Keywords

weak solutionarcsine lawsticky Brownian motionresolvent density

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (3)

On skew sticky Brownian motion ⋮ A functional limit theorem for coin tossing Markov chains ⋮ Properties of the EMCEL scheme for approximating irregular diffusions

Cites Work

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• Application of stochastic flows to the sticky Brownian motion equation
• Multidimensional sticky Brownian motions as limits of exclusion processes
• A stochastic differential equation with a sticky point
• The parabolic differential equations and the associated semigroups of transformation
• Stochastic differential equations for sticky Brownian motion

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