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 in:Electronic communications in probability 2016-12
Main Authors: Hajri, Hatem, Mine, Caglar, Arnaudon, Marc
Format: Article
Language:English
Subjects:
Mathematics
Probability
Online Access:Get full text
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Description
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