Stochastic flows and sticky Brownian motion
Sticky Brownian motion is a one-dimensional diffusion with the property that the amount of time the process spends at zero is of positive Lebesgue measure and yet the process does not stay at zero for any positive interval of time. Sticky Brownian motion can be considered as qualitatively between st...
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University of Warwick
2007
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.491887 |