On skew sticky Brownian motion

DOI10.1016/j.spl.2021.109086zbMath1476.60141OpenAlexW3138142853MaRDI QIDQ2244524

Wajdi Touhami

Publication date: 12 November 2021

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

Full work available at URL: https://doi.org/10.1016/j.spl.2021.109086

zbMATH Keywords

resolventlocal timeoccupation timeskew sticky Brownian motiontrivariate density

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60)

Related Items (1)

Functional convergence to the local time of a sticky diffusion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the time inhomogeneous skew Brownian motion
• Application of stochastic flows to the sticky Brownian motion equation
• Occupation and local times for skew Brownian motion with applications to dispersion across an interface
• Corrections: occupation and local times for skew Brownian motion with applications to dispersion across an interface
• Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control
• Sticky Brownian motion as the strong limit of a sequence of random walks
• The noise made by a Poisson snake
• Conditional law and occupation times of two-sided sticky Brownian motion
• Multidimensional sticky Brownian motions as limits of exclusion processes
• A stochastic differential equation with a sticky point
• Itō's formula for Walsh's Brownian motion and applications
• The parabolic differential equations and the associated semigroups of transformation
• Stochastic differential equations for sticky Brownian motion
• Brownian motions on metric graphs
• Stochastic Processes with Applications
• Sticky Brownian motion as the limit of storage processes

This page was built for publication: On skew sticky Brownian motion