Application of stochastic flows to the sticky Brownian motion equation
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Publication:507779
DOI10.1214/16-ECP37zbMATH Open1357.60083arXiv1603.07456MaRDI QIDQ507779FDOQ507779
Mine Çağlar, Hatem Hajri, Marc Arnaudon
Publication date: 7 February 2017
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Abstract: We show how the theory of stochastic flows allows to recover in an elementary way a well known result of Warren on the sticky Brownian motion equation.
Full work available at URL: https://arxiv.org/abs/1603.07456
Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random operators and equations (aspects of stochastic analysis) (60H25)
Cited In (15)
- The Bethe ansatz for sticky Brownian motions
- 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
- 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
- Sticky couplings of multidimensional diffusions with different drifts
- General diffusion processes as limit of time-space Markov chains
- Some explicit results on one kind of sticky diffusion
- Properties of the EMCEL scheme for approximating irregular diffusions
- On skew sticky Brownian motion
- Approximating exit times of continuous Markov processes
- A functional limit theorem for coin tossing Markov chains
- Title not available (Why is that?)
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