APPLICATION OF STOCHASTIC FLOWS TO THE STICKY BROWNIAN MOTION EQUATION

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.

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Bibliographic Details
Published inElectronic communications in probability
Main Authors Hajri, Hatem, Mine, Caglar, Arnaudon, Marc
Format Journal Article
LanguageEnglish
Published Institute of Mathematical Statistics (IMS) 12.12.2016
Subjects
Mathematics
Probability
Wiener chaos
weak solution
sticky Brownian motion
stochastic flows
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Summary: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.
ISSN:1083-589X
1083-589X