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On countably skewed Brownian motion with accumulation point

  • Université Cadi Ayyad
  • Seoul National University

Research output: Contribution to journalArticlepeer-review

13 Citations (Scopus)

Abstract

In this work we connect the theory of symmetric Dirichlet forms and direct stochastic calculus to obtain strong existence and pathwise uniqueness for Brownian motion that is perturbed by a series of constant multiples of local times at a sequence of points that has exactly one accumulation point in ℝ. The considered process is identified as special distorted Brownian motion X in dimension one and is studied thoroughly. Besides strong uniqueness, we present necessary and sufficient conditions for nonexplosion, recurrence and positive recurrence as well as for X to be semimartingale and possible applications to advection-diffusion in layered media.

Original languageEnglish
Article number82
JournalElectronic Journal of Probability
Volume20
DOIs
Publication statusPublished - 7 Aug 2015

Keywords

  • Local time
  • Pathwise uniqueness
  • Positive recurrence
  • Recurrence
  • Skew Brownian motion
  • Strong existence
  • Transience

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