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Itô’s formula for Walsh’s Brownian motion and applications

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  • Hajri, Hatem
  • Touhami, Wajdi

Abstract

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

Suggested Citation

  • Hajri, Hatem & Touhami, Wajdi, 2014. "Itô’s formula for Walsh’s Brownian motion and applications," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 48-53.
    • Handle: RePEc:eee:stapro:v:87:y:2014:i:c:p:48-53
    DOI: 10.1016/j.spl.2013.12.021
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    References listed on IDEAS

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    1. Prokaj, Vilmos, 2009. "Unfolding the Skorohod reflection of a semimartingale," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 534-536, February.
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    Cited by:

    1. Hajri, Hatem & Raimond, Olivier, 2016. "Stochastic flows and an interface SDE on metric graphs," Stochastic Processes and their Applications, Elsevier, vol. 126(1), pages 33-65.
    2. Karatzas, Ioannis & Yan, Minghan, 2019. "Semimartingales on rays, Walsh diffusions, and related problems of control and stopping," Stochastic Processes and their Applications, Elsevier, vol. 129(6), pages 1921-1963.

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