On a Brownian motion with a hard membrane
Probability
2017-03-23 v2
Abstract
Local perturbations of a Brownian motion are considered. As a limit we obtain a non-Markov process that behaves as a reflected 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 reflected Brownian motion on the negative half line until some stopping time, etc.
Cite
@article{arxiv.1511.01043,
title = {On a Brownian motion with a hard membrane},
author = {Vidyadhar Mandrekar and Andrey Pilipenko},
journal= {arXiv preprint arXiv:1511.01043},
year = {2017}
}
Comments
9 pages