Sticky Brownian motion as the strong limit of a sequence of random walks

Madjid Amir

Stochastic Processes and their Applications, 1991, vol. 39, issue 2, 221-237

Abstract: We provide here a constructive definition of the sticky Brownian motion as we show that it is the almost sure uniform limit of path functions of a time changed random walk. The transition distribution of this process is also derived.

Date: 1991
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