Trivariate distribution of sticky Brownian motion
Probability
2023-07-21 v1
Abstract
In this short note we derive a closed form for the trivariate distribution (position, local time at the origin, and positive occupation time) of the one-dimensional sticky Brownian motion, thereby filling some gaps and fixing some mistakes in the literature.
Cite
@article{arxiv.2307.10849,
title = {Trivariate distribution of sticky Brownian motion},
author = {Jean-Baptiste Casteras and Léonard Monsaingeon},
journal= {arXiv preprint arXiv:2307.10849},
year = {2023}
}