Processes with Inert Drift
نویسنده
چکیده
We construct a stochastic process whose drift is a function of the process’s local time at a reflecting barrier. The process arose as a model of the interactions of a Brownian particle and an inert particle in [7]. We construct and give asymptotic results for two different arrangements of inert particles and Brownian particles, and construct the analogous process in R.
منابع مشابه
Markov processes with product-form stationary distribution
This research has been inspired by several papers on processes with inert drift [5, 6, 4, 3, 1]. The model involves a “particle” X and an “inert drift” L, neither of which is a Markov process by itself, but the vector process (X, L) is Markov. It turns out that for a number of diffusions with inert drift, the stationary measure has the product form; see [1]. The purpose of this note is to chara...
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