Local time flow related to skew Brownian motion.

DOI10.1214/AOP/1015345768zbMATH Open1037.60057OpenAlexW1983831812MaRDI QIDQ1872243FDOQ1872243

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

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Mathematics Subject Classification ID

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

Cites Work

• On skew Brownian motion
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• Diffusions and Elliptic Operators
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• On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations
• A construction of markov processes by piecing out
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• Stochastic bifurcation models
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Cited In (20)

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

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