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of 285
pro vyhledávání: '"sticky Brownian motion"'
Akademický článek
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In this short note we derive a closed form for the trivariate distribution (position, local time at the origin, and positive occupation time) of the one-dimensional sticky Brownian motion, thereby filling some gaps and fixing some mistakes in the lit
Externí odkaz:
http://arxiv.org/abs/2307.10849
We consider the motion of a particle under a continuum random environment whose distribution is given by the Howitt-Warren flow. In the moderate deviation regime, we establish that the quenched density of the motion of the particle (after appropriate
Externí odkaz:
http://arxiv.org/abs/2304.14279
Autor:
Touhami, Wajdi
Starting with a Brownian motion, we define and study a novel diffusion process by combining stickiness and oscillation properties. The associated stochastic differential equation, resolvent and semigroup are provided. Also the trivariate density of p
Externí odkaz:
http://arxiv.org/abs/2302.03125
Autor:
Zhang, Haoyan1 (AUTHOR), Tian, Yingxu1 (AUTHOR) tianyx_hh@163.com
Publikováno v:
Methodology & Computing in Applied Probability. Jun2022, Vol. 24 Issue 2, p1237-1251. 15p.
Publikováno v:
SIAM Review, Vol. 62, No. 1, pp. 164-195, 2020
Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applications such as in biology, materials science, and finance. This article
Externí odkaz:
http://arxiv.org/abs/1906.06803
Autor:
Can, Bugra, Caglar, Mine
Sticky Brownian motion on the real line can be obtained as a weak solution of a system of stochastic differential equations. We find the conditional distribution of the process given the driving Brownian motion, both at an independent exponential tim
Externí odkaz:
http://arxiv.org/abs/1910.10213
We study the symmetric inclusion process (SIP) in the condensation regime. We obtain an explicit scaling for the variance of the density field in this regime, when initially started from a homogeneous product measure. This provides relevant new infor
Externí odkaz:
http://arxiv.org/abs/1906.09887
Publikováno v:
Journal of Applied Probability, 1981 Mar 01. 18(1), 216-226.
Externí odkaz:
https://www.jstor.org/stable/3213181
Publikováno v:
Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2016
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.
Externí odkaz:
http://arxiv.org/abs/1603.07456