Two Brownian particles with rank-based characteristics and skew-elastic collisions
Abstract
We construct a two-dimensional diffusion process with rank-dependent local drift and dispersion coëfficients, and with a full range of patterns of behavior upon collision that range from totally frictionless interaction, to elastic collision, to perfect reflection of one particle on the other. These interactions are governed by the left- and right-local times at the origin for the distance between the two particles. We realize this diffusion in terms of appropriate, apparently novel systems of stochastic differential equations involving local times, which we show are well posed. Questions of pathwise uniqueness and strength are also discussed for these systems. The analysis depends crucially on properties of a skew Brownian motion with two-valued drift of the bang-bang type, which we also discuss in some detail. These properties allow us to compute the transition probabilities of the original planar diffusion, and to study its behavior under time reversal. © 2013 Elsevier B.V. All rights reserved.
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