Filtering of a reflected Brownian motion with respect to its local time

DOI10.1016/j.spa.2005.12.007zbMath1089.60025OpenAlexW2127459978MaRDI QIDQ2490046

Barbara Torti, Giovanna Nappo

Publication date: 28 April 2006

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

Full work available at URL: https://doi.org/10.1016/j.spa.2005.12.007

zbMATH Keywords

Skorokhod problemreflection principle

Mathematics Subject Classification ID

Brownian motion (60J65) Signal detection and filtering (aspects of stochastic processes) (60G35) Local time and additive functionals (60J55) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (2)

Drift Parameter Estimation for a Reflected Fractional Brownian Motion Based on its Local Time ⋮ Continuous time random walks and queues: explicit forms and approximations of the conditional law with respect to local times

Cites Work

• On the quasireversibility of a multiclass Brownian service station
• Point processes and queues. Martingale dynamics
• Brownian models of feedforward queueing networks: Quasireversibility and product form solutions
• Cramér's estimate for Lévy processes
• Small noise asymptotics of the Bayesian estimator in nonidentifiable models
• Heavy traffic limits for some queueing networks
• Discretization error in simulation of one-dimensional reflecting Brownian motion
• Continuous time random walks and queues: explicit forms and approximations of the conditional law with respect to local times
• Filtering for nonlinear systems driven by nonwhite noises:an approximation scheme
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