Publication: Conditional law and occupation times of two-sided sticky Brownian motion
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English
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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.
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Statistics and Probability Letters
Publisher:
Elsevier
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Mathematics, Statisticsand probability