Continuity of local time: an applied perspective

DOI10.1007/978-3-319-25826-3_9MaRDI QIDQ2956052zbMATH OpenOpenAlexFDO

Authors J. M. Ramirez, Enrique 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

zbMATH Keywords

diffusion local timediscontinuous diffusiondispersionoccupation timesemi-martingale local timeskew Brownian motion

Mathematics Subject Classification ID

Local time and additive functionals (60J55) Diffusion processes (60J60) Brownian motion (60J65)

Abstract: Continuity of local time for Brownian motion ranks among the most notable mathematical results in the theory of stochastic processes. This article addresses its implications from the point of view of applications. In particular an extension of previous results on an explicit role of continuity of (natural) local time is obtained for applications to recent classes of problems in physics, biology and finance involving discontinuities in a dispersion coefficient. The main theorem and its corollary provide physical principles that relate macro scale continuity of deterministic quantities to micro scale continuity of the (stochastic) local time.

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Cites work

• A property of Brownian motion paths
• Advection-dispersion across interfaces
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Cited in

(7)

• Local time, coupling and the passport option
• An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions
• The modulator of the local time
• A Note on the Continuity of Local Times
• On the local time process of a skew Brownian motion
• scientific article; zbMATH DE number 6458596 (Why is no real title available?)
• Skew disperson and continuity of local time

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