Corrections: occupation and local times for skew Brownian motion with applications to dispersion across an interface

DOI10.1214/11-AAP775zbMath1238.60117arXiv1009.5410OpenAlexW2005699890MaRDI QIDQ655592

Brian D. Wood, Edward C. Waymire, Thilanka A. Appuhamillage, Enrique A. Thomann, Vrushali A. Bokil

Publication date: 4 January 2012

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

Full work available at URL: https://arxiv.org/abs/1009.5410

zbMATH Keywords

advection-diffusionstochastic orderlocal timeoccupation timefirst passage timeskew Brownian motionelastic skew Brownian motion

Mathematics Subject Classification ID

Other physical applications of random processes (60K40) PDEs with randomness, stochastic partial differential equations (35R60) Local time and additive functionals (60J55) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (6)

Timing in the presence of directional predictability: optimal stopping of skew Brownian motion ⋮ HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? ⋮ An exponential timestepping algorithm for diffusion with discontinuous coefficients ⋮ On skew sticky Brownian motion ⋮ Advection-dispersion across interfaces ⋮ On transition density functions of skew Brownian motions with two-valued drift

Cites Work

• Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process

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