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

Bugra Can and Mine Çağlar

Statistics & Probability Letters, 2020, vol. 165, issue C

Abstract: 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.

Keywords: Sticky Brownian motion; Resolvent density; Arcsine law; Weak solution (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2020.108856

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