On countably skewed Brownian motion with accumulation point

DOI10.1214/EJP.V20-3640MaRDI QIDQ894138zbMATHFDO

Authors Gerald Trutnau, Youssef Ouknine, Francesco Russo

Publication date 27 November 2015

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1308.0441

zbMATH Keywords

Brownian motionDirichlet form

Mathematics Subject Classification ID

Brownian motion (60J65) Dirichlet forms (31C25)

Abstract: In this work we connect the theory of Dirichlet forms and direct stochastic calculus to obtain strong existence and pathwise uniqueness for Brownian motion that is perturbed by a series of constant multiples of local times at a sequence of points that has exactly one accumulation point in $mathbbR$. The considered process is identified as special distorted Brownian motion $X$ in dimension one and is studied thoroughly. Besides strong uniqueness, we present necessary and sufficient conditions for non-explosion, recurrence and positive recurrence as well as for $X$ to be semimartingale and possible applications to advection-diffusion in layered media.

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Cited in

(12)

• Recurrence criteria for generalized Dirichlet forms
• About the infinite dimensional skew and obliquely reflected Ornstein-Uhlenbeck process
• On the stochastic regularity of distorted Brownian motions
• Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process
• Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
• Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process
• An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
• Asymptotics for time-changed diffusions
• Pointwise weak existence of distorted skew Brownian motion with respect to discontinuous Muckenhoupt weights
• Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
• Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators
• Homogenization of a multivariate diffusion with semipermeable interfaces

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