On some properties of sticky Brownian motion

DOI10.1142/S0219493721500374zbMATH Open1479.60161OpenAlexW3112248366MaRDI QIDQ3384671FDOQ3384671

Authors: Haoyan Zhang, P. Jiang 

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/s0219493721500374

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zbMATH Keywords

first hitting timetransition densitytime changesymmetric local timesticky skew Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Local time and additive functionals (60J55)

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Cited In (16)

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• The Bethe ansatz for sticky Brownian motions
• Sticky Brownian Motion and Its Numerical Solution
• Construction and analysis of a sticky reflected distorted Brownian motion
• 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 \(\mathbb R\)
• Title not available (Why is that?)

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