On skew sticky Brownian motion

Wajdi Touhami

Statistics & Probability Letters, 2021, vol. 173, issue C

Abstract: This paper deals with an important sticky diffusion process which is constructed by independently changing the signs of excursions of a reflected sticky Brownian motion. We compute the associated resolvent, semigroup and generator. A stochastic representation result for a class of nonnegative functions is provided. Also, we explore the trivariate density of position, local time and occupation time of this diffusion.

Keywords: Skew sticky Brownian motion; Resolvent; Trivariate density; Local time; Occupation time (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2021.109086

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