Brownian motion with a sticky boundary and point sources in quantum mechanics

DOI10.1016/0895-7177(94)90164-3MaRDI QIDQ1336734zbMATH OpenOpenAlexFDO

Authors V. Pereyra

Publication date 22 February 1995

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0895-7177(94)90164-3

zbMATH Keywords

Brownian motion with a constant driftlarge time behaviourNelson's stochastic mechanics

Mathematics Subject Classification ID

Brownian motion (60J65) Other physical applications of random processes (60K40) Stochastic mechanics (including stochastic electrodynamics) (81P20)

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• Probabilistic approach to the equilibrium problem in potential theory
• Stochastic mechanics and stochastic processes. Proceedings of a conference held in Swansea, UK, Aug. 4-8, 1986
• The parabolic differential equations and the associated semigroups of transformation

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(6)

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• Markov chain approximation of one-dimensional sticky diffusions
• Functional convergence to the local time of a sticky diffusion
• The Bethe ansatz for sticky Brownian motions
• Pricing and hedging for a sticky diffusion

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