Corrections: occupation and local times for skew Brownian motion with applications to dispersion across an interface

DOI10.1214/11-AAP775zbMATH Open1238.60117arXiv1009.5410OpenAlexW2005699890MaRDI QIDQ655592FDOQ655592

Brian D. Wood, Edward C. Waymire, Thilanka A. Appuhamillage, Enrique Thomann, V. A. Bokil

Publication date: 4 January 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: We are making corrections and acknowledging colleagues that pointed out mistakes in our recent paper titled "Occupation and local times for skew Brownian motion with applications to dispersion across an interface" which was published in Annals of Applied Probability (2011) 21(1) 183-214. Specifically the corrections are: 1. The restriction of $gamma$ to non negative values in Theorem 1.3 is not needed. But one has probabilistic interpretation only when $gamma$ is non negative. 2. State the correct formulas in Corollary 3.3 as their were computational errors in the original formulas. We thank Pierre Etoir'e and Miguel Martinez for pointing out these errors.

Full work available at URL: https://arxiv.org/abs/1009.5410

zbMATH Keywords

occupation timefirst passage timelocal timeskew Brownian motionadvection-diffusionstochastic orderelastic skew Brownian motion

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) PDEs with randomness, stochastic partial differential equations (35R60) Local time and additive functionals (60J55) Other physical applications of random processes (60K40)

Cites Work

• Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process

Cited In (8)

• An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
• HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION?
• On transition density functions of skew Brownian motions with two-valued drift
• An exponential timestepping algorithm for diffusion with discontinuous coefficients
• Advection-dispersion across interfaces
• Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
• On skew sticky Brownian motion
• Weak Approximation for a Black-Scholes Type Regime Switching Model

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