Processes with inert drift

David White

Processes with inert drift

Probability 2007-05-23 v2

Authors: David White

Abstract

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 (Knight, 2001). Interesting asymptotic results are obtained for two different arrangements of inert particles and Brownian particles. A version of the process in $\Re^d$ is also constructed.

Keywords

brownian motion branching brownian motion stochastic processes

Cite

@article{arxiv.math/0604052,
  title  = {Processes with inert drift},
  author = {David White},
  journal= {arXiv preprint arXiv:math/0604052},
  year   = {2007}
}

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