Application of stochastic flows to the sticky Brownian motion equation

Hatem Hajri; Mine Caglar; Marc Arnaudon

doi:10.1214/16-ECP37

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Home > Journals > Electron. Commun. Probab. > Volume 22 > Article

2017 Application of stochastic flows to the sticky Brownian motion equation

Hatem Hajri, Mine Caglar, Marc Arnaudon

Electron. Commun. Probab. 22: 1-10 (2017). DOI: 10.1214/16-ECP37

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Abstract

We show how the theory of stochastic flows allows to recover in an elementary way a well known result of Warren on the sticky Brownian motion equation.

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Hatem Hajri. Mine Caglar. Marc Arnaudon. "Application of stochastic flows to the sticky Brownian motion equation." Electron. Commun. Probab. 22 1 - 10, 2017. https://doi.org/10.1214/16-ECP37

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Received: 5 October 2016; Accepted: 12 December 2016; Published: 2017

First available in Project Euclid: 5 January 2017

zbMATH: 1357.60083

MathSciNet: MR3607798

Digital Object Identifier: 10.1214/16-ECP37

Subjects:

Primary: 60H25

Secondary: 60J60

Keywords: Sticky Brownian motion , Stochastic flows , Weak solution , Wiener Chaos

Rights: Creative Commons Attribution 4.0 International License.

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Electron. Commun. Probab.

Vol.22 • 2017

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Hatem Hajri, Mine Caglar, Marc Arnaudon "Application of stochastic flows to the sticky Brownian motion equation," Electronic Communications in Probability, Electron. Commun. Probab. 22(none), 1-10, (2017)

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