Continuity of Local Time: An applied perspective

Preprint English OPEN
Ramirez, Jorge M.; Waymire, Edward C.; Thomann, Enrique A.;
(2015)
  • Subject: Mathematics - Probability | 60G17, 60G51

Continuity of local time for Brownian motion ranks among the most notable mathematical results in the theory of stochastic processes. This article addresses its implications from the point of view of applications. In particular an extension of previous results on an exp... View more
  • References (32)
    32 references, page 1 of 4

    T. A. Appuhamillage, V. A. Bokil, E. A. Thomann, E. C. Waymire, and B. D. Wood. Occupation and local times for skew brownian motion with applications to dispersion across an interface. The Annals of Applied Probability, 21(1):183-214, 2011.

    T. A. Appuhamillage, V. A. Bokil, E. A. Thomann, E. C. Waymire, and B. D. Wood. Skew disperson and continuity of local time. Journal of Statistical Physics, pages 1-11, 2013.

    O. E. Barndorff-Nielsen and A. N. Shiriaev. Change of time and change of measure, volume 13. World Scientific, 2010.

    R. F. Bass and Z.-Q. Chen. One-dimensional stochastic differential equations with singular and degenerate coefficients. Sankhy¯a: The Indian Journal of Statistics, pages 19-45, 2005.

    B. Berkowitz, A. Cortis, I. Dror, and H. Scher. Laboratory experiments on dispersive transport across interfaces: The role of flow direction. Water resources research, 45(2), 2009.

    L. Breiman. Probability, volume 7 of classics in applied mathematics. Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA, 1992.

    R. S. Cantrell and C. Cosner. Spatial ecology via reaction-diffusion equations. John Wiley & Sons, 2004.

    S. N. Ethier and T. G. Kurtz. Markov processes: characterization and convergence, volume 282. John Wiley & Sons, 2009.

    A. Friedman. Partial differential equations of parabolic type. Courier Dover Publications, 2013.

    F. Guo, J. Jokipii, and J. Kota. Particle acceleration by collisionless shocks containing large-scale magnetic-field variations. The Astrophysical Journal, 725(1):128, 2010.

  • Related Organizations (1)
  • Metrics
Share - Bookmark