On some properties of sticky Brownian motion

DOI10.1142/S0219493721500374zbMath1479.60161OpenAlexW3112248366MaRDI QIDQ3384671

Pingping Jiang, Haoyan Zhang

Publication date: 17 December 2021

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493721500374

zbMATH Keywords

transition densitytime changefirst hitting timesymmetric local timesticky skew Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Local time and additive functionals (60J55)

Related Items

Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing

Cites Work

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