On some properties of sticky Brownian motion
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Publication:3384671
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Cites work
- scientific article; zbMATH DE number 3878098 (Why is no real title available?)
- scientific article; zbMATH DE number 3736679 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1210647 (Why is no real title available?)
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- scientific article; zbMATH DE number 2199827 (Why is no real title available?)
- A Generalized Taylor–Aris Formula and Skew Diffusion
- A functional limit theorem for coin tossing Markov chains
- A stochastic differential equation with a sticky point
- Markov processes with spatial delay: path space characterization, occupation time and properties
- On skew Brownian motion
- On symmetric and skew Bessel processes
- On the constructions of the skew Brownian motion
- On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary
- One-dimensional stochastic differential equations with generalized and singular drift
- One-dimensional stochastic differential equations with singular and degenerate coefficients
- Skew CIR process, conditional characteristic function, moments and bond pricing
- Sticky Brownian motion as the limit of storage processes
- Sticky Brownian motion as the strong limit of a sequence of random walks
- Stochastic differential equations for sticky Brownian motion
- The first rendezvous time of Brownian motion and compound Poisson-type processes
- The parabolic differential equations and the associated semigroups of transformation
Cited in
(16)- scientific article; zbMATH DE number 1405936 (Why is no real title available?)
- The Bethe ansatz for sticky Brownian motions
- Construction and analysis of a sticky reflected distorted Brownian motion
- Sticky Brownian Motion and Its Numerical Solution
- 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
- Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing
- First hitting time of Brownian motion on simple graph with skew semiaxes
- Brownian motion with stiff bonds and rigid constraints
- Strong Feller property of sticky reflected distorted Brownian motion
- Some explicit results on one kind of sticky diffusion
- Hitting times for sticky skew CIR process
- On skew sticky Brownian motion
- A note on the sticky Brownian motion on \(\mathbb R\)
- scientific article; zbMATH DE number 1210647 (Why is no real title available?)
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