Reflection between two conjugate diffusions (Q1608754): Difference between revisions
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English | Reflection between two conjugate diffusions |
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Reflection between two conjugate diffusions (English)
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14 October 2002
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The author has previously established that a Brownian motion reflected on another independent Brownian motion is again a Brownian motion. Here he presents a generalization if the process is a diffusion and the reflecting process is a continuous process independent of the diffusion and extends it if the process is a ``conjugate'' diffusion, in the sense of \textit{D. Siegmund} [Ann. Probab. 4, 914-926 (1976; Zbl 0364.60109)]. The precise conditions are too complicated to state here, and the reader is referred to the original paper for details.
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reflecting Brownian motion
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conjugate process
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conjugate diffusion
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continuous barrier process
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