On countably skewed Brownian motion with accumulation point

DOI10.1214/EJP.V20-3640zbMATH Open1327.31023arXiv1308.0441MaRDI QIDQ894138FDOQ894138

Authors: Gerald Trutnau, Youssef Ouknine, Francesco Russo 

Publication date: 27 November 2015

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

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.

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

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zbMATH Keywords

Brownian motionDirichlet form

Mathematics Subject Classification ID

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

Cited In (11)

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

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