Itō's formula for Walsh's Brownian motion and applications

DOI10.1016/J.SPL.2013.12.021MaRDI QIDQ2452872zbMATH OpenOpenAlexFDO

Authors Hatem Hajri, Wajdi Touhami

Publication date 5 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL http://orbilu.uni.lu/handle/10993/14409

zbMATH Keywords

harmonic functionsItō's formulastochastic flowsWalsh's Brownian motion

Mathematics Subject Classification ID

Stochastic integrals (60H05)

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Cites work

• Diffusion processes on graphs: Stochastic differential equations, large deviation principle
• Flows, coalescence and noise.
• scientific article; zbMATH DE number 18222 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 5050949 (Why is no real title available?)
• Stochastic flows on metric graphs
• Stochastic flows related to Walsh Brownian motion
• Unfolding the Skorohod reflection of a semimartingale

Cited in

(10)

• Stochastic integral equations for Walsh semimartingales
• Semimartingales on rays, Walsh diffusions, and related problems of control and stopping
• Embedding of Walsh Brownian motion
• Brownian motion, martingales and Itô formula in Clifford analysis
• On skew sticky Brownian motion
• Stationary distributions and convergence for Walsh diffusions
• The Itô integral for Brownian motion in vector lattices. I
• Limit behaviour of random walks on ℤ^mwith two-sided membrane
• Sticky diffusions on star graphs: characterization and Itô formula
• Stochastic flows and an interface SDE on metric graphs

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