Multidimensional sticky Brownian motions as limits of exclusion processes

DOI10.1214/14-AAP1019zbMath1315.60111arXiv1302.2678OpenAlexW2086083393MaRDI QIDQ2346069

Miklós Z. Rácz, Mykhaylo Shkolnikov

Publication date: 29 May 2015

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

Full work available at URL: https://arxiv.org/abs/1302.2678

zbMATH Keywords

stochastic differential equationsexclusion processesscaling limitsstochastic portfolio theoryreflected Brownian motionsticky Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (11)

Tandem fluid queue with long-range dependent inputs: sticky behaviour and heavy traffic approximation ⋮ Exact formulas for two interacting particles and applications in particle systems with duality ⋮ The sticky Lévy process as a solution to a time change equation ⋮ Conditional law and occupation times of two-sided sticky Brownian motion ⋮ Orthogonal intertwiners for infinite particle systems in the continuum ⋮ Stationary distributions for two-dimensional sticky Brownian motions: exact tail asymptotics and extreme value distributions ⋮ On skew sticky Brownian motion ⋮ Large deviations for sticky Brownian motions ⋮ Sticky couplings of multidimensional diffusions with different drifts ⋮ Some explicit results on one kind of sticky diffusion ⋮ Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation

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