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arXiv · 2307.10849

Trivariate distribution of sticky Brownian motion

Jean-Baptiste Casteras·Léonard Monsaingeon
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Abstract

In this short note we derive a closed form for the trivariate distribution (position, local time at the origin, and positive occupation time) of the one-dimensional sticky Brownian motion, thereby filling some gaps and fixing some mistakes in the literature.

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Jean-Baptiste Casteras, Léonard Monsaingeon. 2023-07-20. Trivariate distribution of sticky Brownian motion. https://arxiv.org/abs/2307.10849

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