Article ID Journal Published Year Pages File Type
1154760 Statistics & Probability Letters 2014 6 Pages PDF
Abstract

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

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Physical Sciences and Engineering Mathematics Statistics and Probability
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Itô’s formula for Walsh’s Brownian motion and applications
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