Local time flow related to skew Brownian motion.

DOI10.1214/AOP/1015345768MaRDI QIDQ1872243zbMATHOpenAlexFDO

Authors K. Burdzy, Zhen-Qing Chen

Publication date 6 May 2003

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1015345768

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• A construction of markov processes by piecing out
• Diffusions and Elliptic Operators
• On skew Brownian motion
• On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations
• Stochastic bifurcation models

Cited in

(20)

• On the local time process of a skew Brownian motion
• Convergence of skew Brownian motions with local times at several points that are contracted into a single one
• Occupation and local times for skew Brownian motion with applications to dispersion across an interface
• Stochastic flows related to Walsh Brownian motion
• On flows associated to Tanaka's SDE and related works
• Distance between two skew Brownian motions as a S.D.E. With jumps and law of the hitting time
• Local time at zero for Arratia flow
• Shy couplings
• A stochastic flow arising in the study of local times
• Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
• Fechner's distribution and connections to skew Brownian motion
• Limit theorems for local and occupation times of random walks and Brownian motion on a spider
• One-dimensional heat equation with discontinuous conductance
• Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
• Bouncing skew Brownian motions
• Diffusions on a space of interval partitions: the two-parameter model
• Squared Bessel processes of positive and negative dimension embedded in Brownian local times
• First passage time of skew Brownian motion
• Ray-Knight theorems related to a stochastic flow
• Lenses in skew Brownian flow

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