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Some calculations for doubly perturbed Brownian motion

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  • Chaumont, L.
  • Doney, R. A.

Abstract

In the present paper we compute the laws of some functionals of doubly perturbed Brownian motion, which is the solution of the equation Xt=Bt+[alpha] sups[less-than-or-equals, slant]t Xs+[beta] infs[less-than-or-equals, slant]t Xs, where [alpha],[beta]

Suggested Citation

  • Chaumont, L. & Doney, R. A., 2000. "Some calculations for doubly perturbed Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 85(1), pages 61-74, January.
    • Handle: RePEc:eee:spapps:v:85:y:2000:i:1:p:61-74
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    Cited by:

    1. Serlet, Laurent, 2013. "Hitting times for the perturbed reflecting random walk," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 110-130.
    2. Hiderah Kamal, 2020. "Approximation of Euler–Maruyama for one-dimensional stochastic differential equations involving the maximum process," Monte Carlo Methods and Applications, De Gruyter, vol. 26(1), pages 33-47, March.
    3. Ma, Xiaocui & Yue, Haitao & Xi, Fubao, 2022. "The averaging method for doubly perturbed distribution dependent SDEs," Statistics & Probability Letters, Elsevier, vol. 189(C).
    4. Yingxu Tian & Haoyan Zhang, 2023. "Perturbed Skew Diffusion Processes," Mathematics, MDPI, vol. 11(11), pages 1-12, May.

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