Stochastic differential equations for sticky Brownian motion
DOI10.1080/17442508.2014.899600zbMATH Open1337.60120OpenAlexW2119732617MaRDI QIDQ2811120FDOQ2811120
Authors: H.-J. Engelbert, Goran Peskir 
Publication date: 10 June 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2014.899600
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stochastic differential equationweak convergencelocal timereflecting Brownian motiontime changesticky Brownian motionFeller boundary conditionSkorokhod conjecture
Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Boundary theory for Markov processes (60J50) Local time and additive functionals (60J55) Stochastic integral equations (60H20)
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Cited In (45)
- Title not available (Why is that?)
- Sticky Particles and Stochastic Flows
- Markov processes with spatial delay: Path space characterization, occupation time and properties
- The Bethe ansatz for sticky Brownian motions
- Functional convergence to the local time of a sticky diffusion
- Large deviations for sticky Brownian motions
- Reversible coalescing-fragmentating Wasserstein dynamics on the real line
- Wasserstein convergence rates for random bit approximations of continuous Markov processes
- Sticky Brownian Motion and Its Numerical Solution
- Construction and analysis of a sticky reflected distorted Brownian motion
- A convolution formula for the local time of an Itô diffusion reflecting at 0 and a generalized Stroock-Williams equation
- Sticky nonlinear SDEs and convergence of McKean-Vlasov equations without confinement
- Sticky Feller diffusions
- Sticky-reflected stochastic heat equation driven by colored noise
- The sticky Lévy process as a solution to a time change equation
- Sticky Brownian motions and a probabilistic solution to a two-point boundary value problem
- Conditional law and occupation times of two-sided sticky Brownian motion
- Stationary distributions for two-dimensional sticky Brownian motions: exact tail asymptotics and extreme value distributions
- Sticky couplings of multidimensional diffusions with different drifts
- Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing
- General diffusion processes as limit of time-space Markov chains
- Markov chain approximation of one-dimensional sticky diffusions
- Optimal dynamic contracts with moral hazard and costly monitoring
- A dual Yamada-Watanabe theorem for Lévy driven stochastic differential equations
- Strong Feller property of sticky reflected distorted Brownian motion
- Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound
- Forward-backward SDEs with distributional coefficients
- Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
- Some explicit results on one kind of sticky diffusion
- On a skew stable Lévy process
- Hitting times for sticky skew CIR process
- Representation of solutions to sticky stochastic differential equations
- Properties of the EMCEL scheme for approximating irregular diffusions
- Coalescing-fragmentating Wasserstein dynamics: particle approach
- On skew sticky Brownian motion
- A result on the Laplace transform associated with the sticky Brownian motion on an interval
- Behavior Near Walls in the Mean-Field Approach to Crowd Dynamics
- Approximating exit times of continuous Markov processes
- A functional limit theorem for coin tossing Markov chains
- The martingale problem method revisited
- Sticky Bessel diffusions
- Termination as an incentive device
- Large deviations of currents in diffusions with reflective boundaries
- On some properties of sticky Brownian motion
- Boundary approximation for sticky jump-reflected processes on the half-line
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