Two Brownian particles with rank-based characteristics and skew-elastic collisions
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Publication:2447698
DOI10.1016/j.spa.2013.03.019zbMath1296.60148arXiv1206.4350OpenAlexW2031614767MaRDI QIDQ2447698
E. Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas
Publication date: 28 April 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1206.4350
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Local time and additive functionals (60J55)
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