Some calculations for doubly perturbed Brownian motion

DOI10.1016/S0304-4149(99)00065-4zbMath0997.60095MaRDI QIDQ1613581

Loïc Chaumont, Ronald Arthur Doney

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

excursionsoccupation timedoubly perturbed Brownian motion

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov processes (60J99)

Related Items (14)

Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero ⋮ Transportation inequalities for doubly perturbed stochastic differential equations with Markovian switching ⋮ Doubly perturbed neutral stochastic functional equations ⋮ The averaging method for doubly perturbed distribution dependent SDEs ⋮ Perturbed uncertain differential equations and perturbed reflected canonical process ⋮ Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients ⋮ Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary ⋮ Density functions of doubly-perturbed stochastic differential equations with jumps ⋮ Approximate solutions for a class of doubly perturbed stochastic differential equations ⋮ Minimizing the time to a decision ⋮ Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the maximum process ⋮ Doubly perturbed neutral diffusion processes with Markovian switching and Poisson jumps ⋮ Doubly perturbed jump-diffusion processes ⋮ A lifetime of excursions through random walks and Lévy processes

Cites Work

• Weak limits of perturbed random walks and the equation \(Y_ t = B_ t+\alpha\sup\{Y_ s:s \leq t\} + \beta\inf\{Y_ s:s\leq t\}\)
• Brownian motion and random walk perturbed at extrema
• Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
• Some extensions of the arc sine law as partial consequences of the scaling property of Brownian motion
• Perturbed Brownian motions
• Enlacements du Mouvement Brownien Autour Des Courbes de L'Espace
• Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions
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