Filtering of a reflected Brownian motion with respect to its local time (Q2490046)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Filtering of a reflected Brownian motion with respect to its local time |
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Filtering of a reflected Brownian motion with respect to its local time (English)
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28 April 2006
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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.
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reflection principle
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Skorokhod problem
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