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Trivariate distribution of sticky Brownian motion
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Orientador(es)
Resumo(s)
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.
Descrição
Publisher Copyright: © 2026 The Authors.
Palavras-chave
Large deviation Local time Sticky Brownian motion Trivariate distribution Analysis Applied Mathematics