Some calculations for doubly perturbed Brownian motion

DOI10.1016/S0304-4149(99)00065-4MaRDI QIDQ1613581zbMATH OpenFDO

Authors Loïc Chaumont, Ronald A. Doney

Publication date 29 August 2002

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

Full work available at URL https://doi.org/10.1016/S0304-4149(99)00065-4

zbMATH Keywords

doubly perturbed Brownian motionexcursionsoccupation time

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)

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Cites work

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

Cited in

(18)

• Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
• Density functions of doubly-perturbed stochastic differential equations with jumps
• Approximate solutions for a class of doubly perturbed stochastic differential equations
• Upper and lower limits of doubly perturbed Brownian motion
• Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the maximum process
• A lifetime of excursions through random walks and Lévy processes
• Transportation inequalities for doubly perturbed stochastic differential equations with Markovian switching
• The averaging method for doubly perturbed distribution dependent SDEs
• Doubly perturbed neutral stochastic functional equations
• Doubly perturbed jump-diffusion processes
• Perturbed uncertain differential equations and perturbed reflected canonical process
• scientific article; zbMATH DE number 1210405 (Why is no real title available?)
• Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero
• 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
• Minimizing the time to a decision
• Truncated Euler-Maruyama approximation for solving perturbed stochastic differential equations with reflected boundary
• Doubly perturbed neutral diffusion processes with Markovian switching and Poisson jumps

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