On a Brownian motion with a hard membrane

DOI10.1016/J.SPL.2016.02.005zbMATH Open1336.60161arXiv1511.01043OpenAlexW2226981601MaRDI QIDQ274170FDOQ274170

Authors: V. S. Mandrekar, Andrey Yu. Pilipenko 

Publication date: 22 April 2016

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

Abstract: Local perturbations of a Brownian motion are considered. As a limit we obtain a non-Markov process that behaves as a reflected Brownian motion on the positive half line until its local time at zero reaches some exponential level, then changes a sign and behaves as a reflected Brownian motion on the negative half line until some stopping time, etc.

Full work available at URL: https://arxiv.org/abs/1511.01043

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zbMATH Keywords

stopping timelocal timeinvariance principlereflecting Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Functional limit theorems; invariance principles (60F17) Stopping times; optimal stopping problems; gambling theory (60G40) Boundary theory for Markov processes (60J50) Local time and additive functionals (60J55)

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Cited In (8)

• Title not available (Why is that?)
• On simultaneous hitting of membranes by two skew Brownian motions
• Limit behaviour of random walks on ℤ^mwith two-sided membrane
• On a multidimensional Brownian motion with a membrane located on a hyperplane and acting in an oblique direction
• On the limit behavior of a sequence of Markov processes perturbed in a neighborhood of the singular point
• Brownian motion in a Hilbert space with a semipermeable membrane on a hyperplane
• Gene flow across geographical barriers -- scaling limits of random walks with obstacles
• Brownian motion on the figure eight

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