Stochastic differential equations for sticky Brownian motion

DOI10.1080/17442508.2014.899600zbMath1337.60120OpenAlexW2119732617MaRDI QIDQ2811120

Hans-Jürgen 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

zbMATH Keywords

stochastic differential equationweak convergencelocal timereflecting Brownian motiontime changesticky Brownian motionFeller boundary conditionSkorokhod conjecture

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Local time and additive functionals (60J55) Boundary theory for Markov processes (60J50) Stochastic integral equations (60H20)

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• On the theorem of T. Yamada and S. Watanabe
• On the Uniqueness in Law and the Pathwise Uniqueness for Stochastic Differential Equations
• On the Decomposition of Continuous Submartingales
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