Application of stochastic flows to the sticky Brownian motion equation

DOI10.1214/16-ECP37MaRDI QIDQ507779zbMATHFDO

Authors Mine Çağlar, 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

zbMATH Keywords

weak solutionWiener chaosstochastic flowssticky Brownian motion

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random operators and equations (aspects of stochastic analysis) (60H25)

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.

Cited in

(15)

• Some explicit results on one kind of sticky diffusion
• A functional limit theorem for coin tossing Markov chains
• On skew sticky Brownian motion
• The sticky Lévy process as a solution to a time change equation
• Wasserstein convergence rates for random bit approximations of continuous Markov processes
• Sticky couplings of multidimensional diffusions with different drifts
• scientific article; zbMATH DE number 1210647 (Why is no real title available?)
• Sticky Brownian Motion and Its Numerical Solution
• Sticky Brownian motions and a probabilistic solution to a two-point boundary value problem
• The Bethe ansatz for sticky Brownian motions
• Conditional law and occupation times of two-sided sticky Brownian motion
• Approximating exit times of continuous Markov processes
• Properties of the EMCEL scheme for approximating irregular diffusions
• Construction and analysis of a sticky reflected distorted Brownian motion
• General diffusion processes as limit of time-space Markov chains

This page was built for publication: Application of stochastic flows to the sticky Brownian motion equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q507779)