Article ID Journal Published Year Pages File Type
1151262 Statistics & Probability Letters 2016 9 Pages PDF
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
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