Conditional law and occupation times of two-sided sticky Brownian motion

被引：2

作者：

Can, Bugra ^{[1
,2
]}

Caglar, Mine ^{[1
]}

机构：

[1] Koc Univ, Dept Math, Istanbul, Turkey

[2] Rutgers State Univ, New Brunswick, NJ USA

来源：

STATISTICS & PROBABILITY LETTERS | 2020年 / 165卷

关键词：

Sticky Brownian motion; Resolvent density; Arcsine law; Weak solution;

D O I：

10.1016/j.spl.2020.108856

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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 time and at a fixed time t > 0. As a classical problem, we find the distribution of the occupation times of a half-line, and at 0, which is the sticky point for the process. (C) 2020 Elsevier B.V. All rights reserved.

引用

页数：11