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• W2119732617 abstract "We study (i) the stochastic differential equation (SDE) systemfor Brownian motion X in sticky at 0, and (ii) the SDE systemfor reflecting Brownian motion X in sticky at 0, where X starts at x in the state space, is a given constant, is a local time of X at 0 and B is a standard Brownian motion. We prove that both systems (i) have a jointly unique weak solution and (ii) have no strong solution. The latter fact verifies Skorokhod's conjecture on sticky Brownian motion and provides alternative arguments to those given in the literature." @default.
• W2119732617 created "2016-06-24" @default.
• W2119732617 creator A5025937722 @default.
• W2119732617 creator A5053033536 @default.
• W2119732617 date "2014-04-29" @default.
• W2119732617 modified "2023-10-02" @default.
• W2119732617 title "Stochastic differential equations for sticky Brownian motion" @default.
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• W2119732617 doi "https://doi.org/10.1080/17442508.2014.899600" @default.
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