Stochastic differential equations for sticky Brownian motion
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Cites work
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 3539473 (Why is no real title available?)
- ON CONTINUOUS MARTINGALES
- On solutions of one-dimensional stochastic differential equations without drift
- On the Decomposition of Continuous Submartingales
- On the Uniqueness in Law and the Pathwise Uniqueness for Stochastic Differential Equations
- On the one-sided tanaka equation with drift
- On the theorem of T. Yamada and S. Watanabe
- Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
- The parabolic differential equations and the associated semigroups of transformation
Cited in
(46)- Reversible coalescing-fragmentating Wasserstein dynamics on the real line
- Some explicit results on one kind of sticky diffusion
- Large deviations of currents in diffusions with reflective boundaries
- Stationary distributions for two-dimensional sticky Brownian motions: exact tail asymptotics and extreme value distributions
- Markov processes with spatial delay: path space characterization, occupation time and properties
- The martingale problem method revisited
- A stochastic differential equation with a sticky point
- A dual Yamada-Watanabe theorem for Lévy driven stochastic differential equations
- A functional limit theorem for coin tossing Markov chains
- Sticky particles and stochastic flows
- Sticky nonlinear SDEs and convergence of McKean-Vlasov equations without confinement
- Sticky-reflected stochastic heat equation driven by colored noise
- Functional convergence to the local time of a sticky diffusion
- Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound
- Large deviations for sticky Brownian motions
- Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing
- On skew sticky Brownian motion
- Behavior near walls in the mean-field approach to crowd dynamics
- Forward-backward SDEs with distributional coefficients
- Representation of solutions to sticky stochastic differential equations
- The sticky Lévy process as a solution to a time change equation
- Wasserstein convergence rates for random bit approximations of continuous Markov processes
- Sticky couplings of multidimensional diffusions with different drifts
- Sticky Brownian Motion and Its Numerical Solution
- On some properties of sticky Brownian motion
- Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
- Sticky Feller diffusions
- Sticky Brownian motions and a probabilistic solution to a two-point boundary value problem
- Strong Feller property of sticky reflected distorted Brownian motion
- The Bethe ansatz for sticky Brownian motions
- Conditional law and occupation times of two-sided sticky Brownian motion
- Approximating exit times of continuous Markov processes
- Markov chain approximation of one-dimensional sticky diffusions
- Sticky Bessel diffusions
- Boundary approximation for sticky jump-reflected processes on the half-line
- Properties of the EMCEL scheme for approximating irregular diffusions
- Termination as an incentive device
- Optimal dynamic contracts with moral hazard and costly monitoring
- scientific article; zbMATH DE number 1405936 (Why is no real title available?)
- A result on the Laplace transform associated with the sticky Brownian motion on an interval
- Coalescing-fragmentating Wasserstein dynamics: particle approach
- On a skew stable Lévy process
- Construction and analysis of a sticky reflected distorted Brownian motion
- General diffusion processes as limit of time-space Markov chains
- A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation
- Hitting times for sticky skew CIR process
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