Electronic Journal of Probability

Processes with inert drift

David White

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We construct a stochastic process whose drift is a function of the process's local time at a reflecting barrier. The process arose as a model of the interactions of a Brownian particle and an inert particle in a paper by Knight [7]. We construct and give asymptotic results for two different arrangements of inert particles and Brownian particles, and construct the analogous process in higher dimensions.

Article information

Electron. J. Probab., Volume 12 (2007), paper no. 55, 1509-1546.

Accepted: 4 December 2007
First available in Project Euclid: 1 June 2016

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60J65: Brownian motion [See also 58J65]
Secondary: 60J55: Local time and additive functionals

Brownian motion local time Skorohod lemma

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White, David. Processes with inert drift. Electron. J. Probab. 12 (2007), paper no. 55, 1509--1546. doi:10.1214/EJP.v12-465. https://projecteuclid.org/euclid.ejp/1464818526

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