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On skew sticky Brownian motion
Journal article   Peer reviewed

On skew sticky Brownian motion

Wajdi Touhami
Statistics & probability letters, Vol.173, p.109086
06/2021

Abstract

Local time Occupation time Resolvent Skew sticky Brownian motion Trivariate density
This paper deals with an important sticky diffusion process which is constructed by independently changing the signs of excursions of a reflected sticky Brownian motion. We compute the associated resolvent, semigroup and generator. A stochastic representation result for a class of nonnegative functions is provided. Also, we explore the trivariate density of position, local time and occupation time of this diffusion.

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