Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151262 | Statistics & Probability Letters | 2016 | 9 Pages |
Abstract
Local perturbations of a Brownian motion are considered. As a limit we obtain a non-Markov process that behaves as a reflecting Brownian motion on the positive half line until its local time at zero reaches some exponential level, then changes a sign and behaves as a reflecting Brownian motion on the negative half line until some stopping time, etc.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Vidyadhar Mandrekar, Andrey Pilipenko,