Document Zbl 1190.60079

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Processes with inert drift. (English) Zbl 1190.60079

Electron. J. Probab. 12, 1509-1546 (2007).

Summary: We construct a stochastic process whose drift is a function of the process’s local time at a reflecting barrier. The process arose as a model of the interactions of a Brownian particle and an inert particle in a paper by F. B. Knight [Probab. Theory Relat. Fields 121, No. 4, 577–598 (2001; Zbl 1015.60072)]. We construct and give asymptotic results for two different arrangements of inert particles and Brownian particles, and construct the analogous process in higher dimensions.

Cited in 1 Review

Cited in 7 Documents

MSC:

60J65	Brownian motion
60J55	Local time and additive functionals

Keywords:

Brownian motion; local time; Skorohod Lemma

Citations:

Zbl 1015.60072

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