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Itô’s formula for Walsh’s Brownian motion and applications
Journal article   Peer reviewed

Itô’s formula for Walsh’s Brownian motion and applications

Hatem Hajri and Wajdi Touhami
Statistics & probability letters, Vol.87(1), pp.48-53
04/2014
DOI: https://doi.org/10.1016/j.spl.2013.12.021

Abstract

Harmonic functions Itô’s formula Stochastic flows Walsh’s Brownian motion
We prove an Itô’s formula for Walsh’s Brownian motion in the plane with angles according to a probability measure μ on [0,2π[. This extends Freidlin–Sheu formula which corresponds to the case where μ has finite support. We also give some applications.

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