Itô’s formula for Walsh’s Brownian motion and applications

Hatem Hajri and Wajdi Touhami

Statistics & Probability Letters, 2014, vol. 87, issue C, 48-53

Abstract: We prove an Itô’s formula for Walsh’s Brownian motion in the plane with angles according to a probability measure μ on [0,2π[. This extends Freidlin–Sheu formula which corresponds to the case where μ has finite support. We also give some applications.

Keywords: Walsh’s Brownian motion; Itô’s formula; Harmonic functions; Stochastic flows (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2013.12.021

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