Explicit semimartingale representation of Brownian motion in a wedge (Q909356): Difference between revisions
From MaRDI portal
Set profile property. |
ReferenceBot (talk | contribs) Changed an Item |
||
Property / cites work | |||
Property / cites work: Reflected Brownian motion on an orthant / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Brownian models of open queueing networks with homogeneous customer populations<sup>∗</sup> / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3959169 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On one-dimensional stochastic differential equations with non-sticky boundary conditions / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A boundary property of semimartingale reflecting Brownian motions / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3763296 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Brownian motion in a wedge with oblique reflection / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Reflected brownian motion in a wedge: Semimartingale property / rank | |||
Normal rank |
Latest revision as of 13:30, 20 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Explicit semimartingale representation of Brownian motion in a wedge |
scientific article |
Statements
Explicit semimartingale representation of Brownian motion in a wedge (English)
0 references
1990
0 references
\textit{R. J. Williams} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 69, 161-176 (1985; Zbl 0535.60042)] showed that the reflected Brownian motion in a wedge with constant direction of reflection is a semimartingale. The author identifies the martingale part as the Brownian motion. He then describes the behaviour of the finite variation part and in doing so he verifies in the affirmative a conjecture of Williams.
0 references
reflected Brownian motion
0 references
constant direction of reflection
0 references
0 references
0 references