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
    0 references
    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

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references