Sticky Brownian motions and a probabilistic solution to a two-point boundary value problem

DOI10.1007/s11040-021-09383-5zbMath1462.35161arXiv1810.06199OpenAlexW3137630220MaRDI QIDQ830521

Thu Dang Thien Nguyen

Publication date: 7 May 2021

Published in: Mathematical Physics, Analysis and Geometry (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.06199

zbMATH Keywords

two-point boundary value problemsticky Brownian motions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial-boundary value problems for second-order parabolic equations (35K20) Brownian motion (60J65) Diffusion processes (60J60) Local time and additive functionals (60J55)

Cites Work

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• Sticky Brownian motion as the strong limit of a sequence of random walks
• Fick law and sticky Brownian motions
• Structural properties of reflected Lévy processes
• A peculiar two point boundary value problem
• Lévy Processes with Two-Sided Reflection
• Stochastic differential equations for sticky Brownian motion
• On Stochastic Differential Equations with Reflecting Barriers
• Double Skorokhod Map and Reneging Real-Time Queues

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