Itô’s formula for Walsh’s Brownian motion and applications

We prove an Itô’s formula for Walsh’s Brownian motion in the plane with angles according to a probability measure μ on [0,2π[. This extends Freidlin–Sheu formula which corresponds to the case where μ has finite support. We also give some applications.

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Year of publication:	2014
Authors:	Hajri, Hatem ; Touhami, Wajdi
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 87.2014, C, p. 48-53
Publisher:	Elsevier
Subject:	Walsh’s Brownian motion \| Itô’s formula \| Harmonic functions \| Stochastic flows

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039839