Trivariate distribution of sticky Brownian motion

Autor:	Casteras, Jean-Baptiste, Monsaingeon, Léonard
Rok vydání:	2023
Předmět:	Mathematics - Probability
Druh dokumentu:	Working Paper
Popis:	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 literature.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2307.10849 Zobrazit plný text záznamu View this record from Arxiv