On some properties of sticky Brownian motion

2020 ◽  
pp. 2150037
Author(s):  
Haoyan Zhang ◽  
Pingping Jiang
Keyword(s):  
Brownian Motion ◽  
Laplace Transform ◽  
Explicit Expression ◽  
Lebesgue Measure ◽  
Transition Density ◽  
Positive Lebesgue Measure ◽  
First Hitting Time ◽  
Skew Brownian Motion ◽  
Basic Probability ◽  
Random Jump

In this paper, we investigate a generalization of Brownian motion, called sticky skew Brownian motion, which has two interesting characteristics: stickiness and skewness. This kind of processes spends a lot more time at its sticky points so that the time they spend at the sticky points has positive Lebesgue measure. By using time change, we obtain an SDE for the sticky skew Brownian motion. Then, we present the explicit relationship between symmetric local time and occupation time. Some basic probability properties, such as transition density, are studied and we derive the explicit expression of Laplace transform of transition density for the sticky skew Brownian motion. We also consider the first hitting time problems over a constant boundary and a random jump boundary, respectively, and give some corollaries based on the results above.

scholarly journals An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers

2016 ◽  
Vol 22 (1) ◽  
pp. 1-23 ◽  
Author(s):  
David Dereudre ◽  
Sara Mazzonetto ◽  
Sylvie Roelly
Keyword(s):  
Brownian Motion ◽  
Sampling Method ◽  
Transition Density ◽  
Explicit Representation ◽  
Rejection Sampling ◽  
Skew Brownian Motion ◽  
One Dimensional ◽  
Brownian Motion With Drift ◽  
Transition Densities ◽  
The One

AbstractIn this paper, we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover, we propose a rejection sampling method to simulate this density in an

scholarly journals First Hitting Time of Brownian Motion on Simple Graph with Skew Semiaxes

2021 ◽  
Author(s):  
Angelos Dassios ◽  
Junyi Zhang
Keyword(s):  
Stochastic Process ◽  
Brownian Motion ◽  
Laplace Transform ◽  
Simple Graph ◽  
Distribution Functions ◽  
Hitting Time ◽  
Common Origin ◽  
First Hitting Time ◽  
Numerical Examples ◽  
The Laplace Transform

AbstractConsider a stochastic process that lives on n-semiaxes emanating from a common origin. On each semiaxis it behaves as a Brownian motion and at the origin it chooses a semiaxis randomly. In this paper we study the first hitting time of the process. We derive the Laplace transform of the first hitting time, and provide the explicit expressions for its density and distribution functions. Numerical examples are presented to illustrate the application of our results.

scholarly journals A four-dimensional random motion at finite speed

2006 ◽  
Vol 43 (4) ◽  
pp. 1107-1118 ◽  
Author(s):  
Alexander D. Kolesnik
Keyword(s):  
Brownian Motion ◽  
Poisson Process ◽  
Transition Density ◽  
Random Motion ◽  
Characteristic Functions ◽  
Conditional Distributions ◽  
Continuous Component ◽  
Absolutely Continuous ◽  
Finite Speed ◽  
Uniform Law

We consider the random motion of a particle that moves with constant finite speed in the space ℝ4 and, at Poisson-distributed times, changes its direction with uniform law on the unit four-sphere. For the particle's position, X(t) = (X1(t), X2(t), X3(t), X4(t)), t > 0, we obtain the explicit forms of the conditional characteristic functions and conditional distributions when the number of changes of directions is fixed. From this we derive the explicit probability law, f(x, t), x ∈ ℝ4, t ≥ 0, of X(t). We also show that, under the Kac condition on the speed of the motion and the intensity of the switching Poisson process, the density, p(x,t), of the absolutely continuous component of f(x,t) tends to the transition density of the four-dimensional Brownian motion with zero drift and infinitesimal variance σ2 = ½.

Strange Nonchaotic Trajectories on Torus

1997 ◽  
Vol 07 (02) ◽  
pp. 423-429 ◽  
Author(s):  
T. Kapitaniak ◽  
L. O. Chua
Keyword(s):  
Lebesgue Measure ◽  
Parameter Space ◽  
Positive Lebesgue Measure ◽  
Strange Nonchaotic Attractors

In this letter we have shown that aperiodic nonchaotic trajectories characteristic of strange nonchaotic attractors can occur on a two-frequency torus. We found that these trajectories are robust as they exist on a positive Lebesgue measure set in the parameter space.

L'intégrale du mouvement brownien

1993 ◽  
Vol 30 (01) ◽  
pp. 17-27
Author(s):  
Aimé Lachal
Keyword(s):  
Fourier Transform ◽  
Brownian Motion ◽  
Hitting Time ◽  
First Hitting Time ◽  
Brownian Motion Process ◽  
Classical Technique ◽  
Motion Process ◽  
Mouvement Brownien ◽  
The Law ◽  
The Right

Let be the Brownian motion process starting at the origin, its primitive and Ut = (Xt+x + ty, Bt + y), , the associated bidimensional process starting from a point . In this paper we present an elementary procedure for re-deriving the formula of Lefebvre (1989) giving the Laplace–Fourier transform of the distribution of the couple (σ α, Uσa ), as well as Lachal's (1991) formulae giving the explicit Laplace–Fourier transform of the law of the couple (σ ab, Uσab ), where σ α and σ ab denote respectively the first hitting time of from the right and the first hitting time of the double-sided barrier by the process . This method, which unifies and considerably simplifies the proofs of these results, is in fact a ‘vectorial' extension of the classical technique of Darling and Siegert (1953). It rests on an essential observation (Lachal (1992)) of the Markovian character of the bidimensional process . Using the same procedure, we subsequently determine the Laplace–Fourier transform of the conjoint law of the quadruplet (σ α, Uσa, σb, Uσb ).

scholarly journals Torsion Discriminance for Stability of Linear Time-Invariant Systems

Mathematics ◽  
2020 ◽  
Vol 8 (3) ◽  
pp. 386
Author(s):  
Yuxin Wang ◽  
Huafei Sun ◽  
Yueqi Cao ◽  
Shiqiang Zhang
Keyword(s):  
Lebesgue Measure ◽  
Linear Time ◽  
Zero Solution ◽  
Positive Lebesgue Measure ◽  
Asymptotically Stable ◽  
Linear Time Invariant ◽  
Measurable Set ◽  
Linear Time Invariant Systems ◽  
The Stability ◽  
Time Invariant

This paper extends the former approaches to describe the stability of n-dimensional linear time-invariant systems via the torsion τ ( t ) of the state trajectory. For a system r ˙ ( t ) = A r ( t ) where A is invertible, we show that (1) if there exists a measurable set E 1 with positive Lebesgue measure, such that r ( 0 ) ∈ E 1 implies that lim t → + ∞ τ ( t ) ≠ 0 or lim t → + ∞ τ ( t ) does not exist, then the zero solution of the system is stable; (2) if there exists a measurable set E 2 with positive Lebesgue measure, such that r ( 0 ) ∈ E 2 implies that lim t → + ∞ τ ( t ) = + ∞ , then the zero solution of the system is asymptotically stable. Furthermore, we establish a relationship between the ith curvature ( i = 1 , 2 , ⋯ ) of the trajectory and the stability of the zero solution when A is similar to a real diagonal matrix.

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