Filtering of a reflected Brownian motion with respect to its local time (Q2490046)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Filtering of a reflected Brownian motion with respect to its local time |
scientific article |
Statements
Filtering of a reflected Brownian motion with respect to its local time (English)
0 references
28 April 2006
0 references
The article is devoted to the construction of the filter for the reflected Brownian motion with respect to its local time at the point zero. The authors take the discrete approximation for the local time. The explicit formula for the corresponding filter can be obtained. This allows to establish the form of the limiting filter explicitly.
0 references
reflection principle
0 references
Skorokhod problem
0 references
0 references