Continuity of Local Time: An Applied Perspective
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Publication:2956052
DOI10.1007/978-3-319-25826-3_9zbMath1354.60082arXiv1503.04660OpenAlexW2112161113MaRDI QIDQ2956052
Jorge M. Ramirez, Enrique A. Thomann, Edward C. Waymire
Publication date: 16 January 2017
Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1503.04660
dispersionoccupation timeskew Brownian motiondiscontinuous diffusiondiffusion local timesemi-martingale local time
Related Items (2)
An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions ⋮ On the local time process of a skew Brownian motion
Cites Work
- Occupation and local times for skew Brownian motion with applications to dispersion across an interface
- Population persistence under advection-diffusion in river networks
- First passage time analysis of animal movement and insights into the functional response
- Three-dimensional modeling of mass transfer in porous media using the mixed hybrid finite elements and the random-walk methods
- A property of Brownian motion paths
- Multi-skewed Brownian motion and diffusion in layered media
- “Skew-Brownian Motion” and Derived Processes
- Advection-dispersion across interfaces
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