Obliquely reflected Brownian motion in nonsmooth planar domains (Q1681598): Difference between revisions

Consider a Brownian motion in a bounded open set \(D\) of \(\mathbb R^2 \simeq \mathbb C\) and let \(v_\theta(x) = n(x) + \tan(\theta(x)) \cdot t(x)\) be a vector field where \(n(x)\) is the normal and \(t(x)\) the tangent vector at \(x\in\partial D\); \(\theta\) is a function on \(\partial D\) such that \(\sup_{\partial D}|\theta|<\pi/2\). Obliquely reflected Brownian motion (oRBM) is the solution to the following SDE \[ X_t = x_0 + B_t + \int_0^t v_\theta(X_s)\,dL_s, \] where \(x_0\in\overline D\) and \(L\) is the local time of \(X\) on \(\partial D\). If \(n,t,\theta\) are smmooth enough -- say of class \(C^2\) -- the pair \((X,L)\) exists and is unique, see [\textit{P. Dupuis} and \textit{H. Ishii}, Ann. Probab. 21, No. 1, 554--580 (1993; Zbl 0787.60099)]. The present authors construct an oRBM for non-smooth domains and non-smooth vector fields. This is achieved in two steps: first BM on the unit disk with a non-smooth \(v_\theta\) is considered. The idea is to approximate the \(v_\theta\) with smooth vector fields and to show that the solutions converge in a suitable way in Skorokhod topology. This leads to an alternative description of reflected BM in smooth planar domains by an integrable positive harmonic function (which represents the the stationary distribution) and a real number which stands for the asymptotic rate of rotation of the process around a reference point in the domain. In a second step, non-smooth domains are considered. The idea here is to use conformal mapping to achieve the construction.