Application of stochastic flows to the sticky Brownian motion equation
From MaRDI portal
Publication:507779
DOI10.1214/16-ECP37zbMath1357.60083arXiv1603.07456MaRDI QIDQ507779
Mine Caglar, Marc Arnaudon, Hatem Hajri
Publication date: 7 February 2017
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1603.07456
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Random operators and equations (aspects of stochastic analysis) (60H25) Diffusion processes (60J60)
Related Items (10)
The sticky Lévy process as a solution to a time change equation ⋮ Conditional law and occupation times of two-sided sticky Brownian motion ⋮ General diffusion processes as limit of time-space Markov chains ⋮ Wasserstein convergence rates for random bit approximations of continuous Markov processes ⋮ On skew sticky Brownian motion ⋮ A functional limit theorem for coin tossing Markov chains ⋮ Sticky couplings of multidimensional diffusions with different drifts ⋮ Some explicit results on one kind of sticky diffusion ⋮ Properties of the EMCEL scheme for approximating irregular diffusions ⋮ Approximating exit times of continuous Markov processes
This page was built for publication: Application of stochastic flows to the sticky Brownian motion equation
