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

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dc.contributor.departmentDepartment of Mathematics
dc.contributor.kuauthorÇağlar, Mine
dc.contributor.kuauthorCan, Buğra
dc.contributor.schoolcollegeinstituteCollege of Sciences
dc.date.accessioned2024-11-09T13:56:16Z
dc.date.issued2020
dc.description.abstractSticky 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.
dc.description.fulltextYES
dc.description.indexedbyWOS
dc.description.indexedbyScopus
dc.description.openaccessYES
dc.description.publisherscopeInternational
dc.description.sponsoredbyTubitakEuTÜBİTAK
dc.description.sponsorshipScientific and Technological Research Council of Turkey (TÜBİTAK)
dc.description.versionAuthor's final manuscript
dc.description.volume165
dc.identifier.doi10.1016/j.spl.2020.108856
dc.identifier.eissn1879-2103
dc.identifier.embargoNO
dc.identifier.filenameinventorynoIR02910
dc.identifier.issn0167-7152
dc.identifier.quartileQ4
dc.identifier.scopus2-s2.0-85086865897
dc.identifier.urihttps://hdl.handle.net/20.500.14288/4048
dc.identifier.wos552009600024
dc.keywordsArcsine law
dc.keywordsResolvent density
dc.keywordsSticky Brownian motion
dc.keywordsWeak solution
dc.language.isoeng
dc.publisherElsevier
dc.relation.grantno115F086
dc.relation.ispartofStatistics and Probability Letters
dc.relation.urihttp://cdm21054.contentdm.oclc.org/cdm/ref/collection/IR/id/9557
dc.subjectMathematics
dc.subjectStatisticsand probability
dc.titleConditional law and occupation times of two-sided sticky Brownian motion
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.kuauthorÇağlar, Mine
local.contributor.kuauthorCan, Buğra
local.publication.orgunit1College of Sciences
local.publication.orgunit2Department of Mathematics
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relation.isOrgUnitOfPublication.latestForDiscovery2159b841-6c2d-4f54-b1d4-b6ba86edfdbe
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