Processes with inert drift

2006/04/03 by White, David
#60J55 #60J65 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.math/0604052

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.

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