Oscillating Brownian motion

DOI10.2307/3213403MaRDI QIDQ4172737zbMATH OpenOpenAlexFDO

Authors Jon A. Wellner, Julian Keilson

Publication date 1978

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3213403

zbMATH Keywords

Brownian MotionFirst-Passage Time DistributionsOccupation Time Distributions

Mathematics Subject Classification ID

Distribution theory (60E99) Diffusion processes (60J60) Brownian motion (60J65)

Cited in

(28)

• The asymptotic behavior of a random walk on a dual-medium lattice
• Convergence to diffusions with regular boundaries
• Controlling the occupation time of an exponential martingale
• Statistical estimation of the oscillating Brownian motion
• Strong approximation of the anisotropic random walk revisited
• Bayesian inference for fractional oscillating Brownian motion
• Multilayer heat equations and their solutions via oscillating integral transforms
• Random walks on comb-type subsets of \(\mathbb{Z}^2\)
• Optimal stopping of oscillating Brownian motion
• Extreme at-the-money skew in a local volatility model
• Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited
• Distributions of linear functionals of two parameter Poisson-Dirichlet random measures
• The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary
• Fechner's distribution and connections to skew Brownian motion
• Probability law and flow function of Brownian motion driven by a generalized telegraph process
• A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
• Two consistent estimators for the skew Brownian motion
• A central limit theorem, loss aversion and multi-armed bandits
• Ranking-based rich-get-richer processes
• HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION?
• Limit behaviour of random walks on ℤ^mwith two-sided membrane
• Mean-field ranking games with diffusion control
• Walsh's Brownian motion and Donsker scaling limits of perturbed random walks
• A fractional stochastic differential equation with discontinuous diffusion driven by fBm with Hurst parameter less than 1/2
• Rates of convergence to the local time of oscillating and skew Brownian motion
• Two-player diffusion control games with private information
• Approximate optimality and the risk/reward tradeoff given repeated gambles
• De Finetti's problem with fixed transaction costs and regime switching

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