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Processes with inert drift
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David W White, Belmont University
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Abstract
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.
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Full text: PDF
Pages: 1509-1546
Published on: December 4, 2007
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Electronic Journal of Probability. ISSN: 1083-6489 |
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