A result on the Laplace transform associated with the sticky Brownian motion on an interval

DOI10.1142/S0219493721500313zbMATH Open1483.60117OpenAlexW3095067162MaRDI QIDQ3384665FDOQ3384665

Authors: Shiyu Song 

Publication date: 17 December 2021

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493721500313

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zbMATH Keywords

Laplace transformoccupation timefirst hitting timesticky Brownian motion

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

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Cited In (4)

• Title not available (Why is that?)
• On the double Laplace transform of the truncated variation of a Brownian motion with drift
• Dual representations of Laplace transforms of Brownian excursion and generalized meanders
• A note on the sticky Brownian motion on \(\mathbb R\)

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