Application of Stochastic Flows to the Sticky Brownian Motion Equation
Hatem Hajri (IMS), Caglar Mine, Marc Arnaudon (IMB)
TL;DR
This paper demonstrates how stochastic flow theory provides an elementary approach to deriving a known result related to the sticky Brownian motion equation, simplifying previous methods.
Contribution
It introduces a straightforward application of stochastic flows to analyze the sticky Brownian motion equation, offering a new perspective on existing results.
Findings
Simplified derivation of Warren's result
Elementary approach using stochastic flows
Enhanced understanding of sticky Brownian motion
Abstract
We show how the theory of stochastic flows allows to recover in an elementary way a well known result of Warren on the sticky Brownian motion equation.
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Taxonomy
TopicsStochastic processes and financial applications · stochastic dynamics and bifurcation · Theoretical and Computational Physics