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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.facultymemberYes
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.studentonlypublicationNo
dc.description.studentpublicationYes
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
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