A note on the sticky Brownian motion on R

Authors

  • M.N. Pascu Transilvania University of Brasov, Romania
  • N.R. Pascu Southern Polytechnic State University, USA

Keywords:

Brownian motion, sticky Brownian motion, singular SDE

Abstract

We consider a degenerate stochastic differential equation that describes an arbitrary sticky Brownian motion on R with sticky point 0. We obtain a representation formula different from the one in [3], which describes the solutions in terms of time delays.

Author Biographies

M.N. Pascu, Transilvania University of Brasov, Romania

Faculty of Mathematics and Computer Science, Str. Iuliu Maniu, Nr. 50, Brasov – 500091

N.R. Pascu, Southern Polytechnic State University, USA

Department of Mathematics, 1100 S. Marietta Pkwy, Marietta, GA 30060-2896

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Published

2011-07-26

Issue

Vol. 4(53) No. 1 (2011)

Section

MATHEMATICS