arXiv:1705.10980 Abstract | arXiv Analytics

arXiv:1705.10980 [math.PR]Abstract References Reviews Resources

Skew Brownian motion with dry friction: The Pugachev-Sveshnikov equation approach

Published 2017-05-31Version 1

The Brownian motion with dry friction is one of the simplest but very common stochastic processes, also known as the Brownian motion with two valued drift, or the Caughey-Dienes process. This process appears in many applied fields, such as physics, mechanics, etc. as well as in mathematics itself. In this paper we are concerned with a more general process, skew Brownian motion with dry friction. We study the probability distribution of this process and its occupation time on the positive half line. The Pugachev-Sveshnikov equation approach is used.

Comments: 6 pages, 2 figures

Categories: math.PR, cond-mat.stat-mech, math.AP

Keywords: skew brownian motion, pugachev-sveshnikov equation approach, dry friction, common stochastic processes, caughey-dienes process

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