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Conditional law and occupation times of two-sided sticky Brownian motion

Author

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  • Can, Bugra
  • Çağlar, Mine

Abstract

Sticky Brownian motion on the real line can be obtained as a weak solution of a system of stochastic differential equations. We find the conditional distribution of the process given the driving Brownian motion, both at an independent exponential time and at a fixed time t>0. As a classical problem, we find the distribution of the occupation times of a half-line, and at 0, which is the sticky point for the process.

Suggested Citation

  • Can, Bugra & Çağlar, Mine, 2020. "Conditional law and occupation times of two-sided sticky Brownian motion," Statistics & Probability Letters, Elsevier, vol. 165(C).
    • Handle: RePEc:eee:stapro:v:165:y:2020:i:c:s0167715220301590
    DOI: 10.1016/j.spl.2020.108856
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    Cited by:

    1. Touhami, Wajdi, 2021. "On skew sticky Brownian motion," Statistics & Probability Letters, Elsevier, vol. 173(C).

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