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2007 Processes with inert drift
David White
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Electron. J. Probab. 12: 1509-1546 (2007). DOI: 10.1214/EJP.v12-465

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 a paper by Knight [7]. We construct and give asymptotic results for two different arrangements of inert particles and Brownian particles, and construct the analogous process in higher dimensions.

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David White. "Processes with inert drift." Electron. J. Probab. 12 1509 - 1546, 2007. https://doi.org/10.1214/EJP.v12-465

Information

Accepted: 4 December 2007; Published: 2007
First available in Project Euclid: 1 June 2016

zbMATH: 1190.60079
MathSciNet: MR2365876
Digital Object Identifier: 10.1214/EJP.v12-465

Subjects:
Primary: 60J65
Secondary: 60J55

Keywords: Brownian motion , Local time , Skorohod lemma

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