On a Brownian motion with a hard membrane

DOI10.1016/j.spl.2016.02.005zbMath1336.60161arXiv1511.01043OpenAlexW2226981601MaRDI QIDQ274170

Vidyadhar Mandrekar, Andrey Yu. Pilipenko

Publication date: 22 April 2016

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

Full work available at URL: https://arxiv.org/abs/1511.01043

zbMATH Keywords

stopping timeinvariance principlelocal timereflecting Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55) Boundary theory for Markov processes (60J50)

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Limit behaviour of random walks on ℤ^mwith two-sided membrane ⋮ Gene flow across geographical barriers -- scaling limits of random walks with obstacles

Cites Work

• On the constructions of the skew Brownian motion
• Lorentz process with shrinking holes in a wall
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
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