Markov processes with spatial delay: Path space characterization, occupation time and properties

DOI10.1142/S0219493717500423zbMath1372.60118arXiv1601.03759OpenAlexW2963266027MaRDI QIDQ5361988

Michael Salins, Konstantinos V. Spiliopoulos

Publication date: 29 September 2017

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

Full work available at URL: https://arxiv.org/abs/1601.03759

zbMATH Keywords

dynamical systemsMarkov processesoccupation timegeneralized operatorsnarrow domainsdelay pointsFeller characterizationsticky points

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Sample path properties (60G17) Local time and additive functionals (60J55)

Related Items (7)

Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing ⋮ On the probability of default in a market with price clustering and jump risk ⋮ On first passage times of sticky reflecting diffusion processes with double exponential jumps ⋮ Functional convergence to the local time of a sticky diffusion ⋮ A result on the Laplace transform associated with the sticky Brownian motion on an interval ⋮ On some properties of sticky Brownian motion ⋮ Some explicit results on one kind of sticky diffusion

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