Reflection between two conjugate diffusions (Q1608754)

From MaRDI portal
Revision as of 03:02, 14 February 2024 by RedirectionBot (talk | contribs) (‎Changed an Item)
scientific article
Language Label Description Also known as
English
Reflection between two conjugate diffusions
scientific article

    Statements

    Reflection between two conjugate diffusions (English)
    0 references
    0 references
    14 October 2002
    0 references
    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.
    0 references
    reflecting Brownian motion
    0 references
    conjugate process
    0 references
    conjugate diffusion
    0 references
    continuous barrier process
    0 references
    0 references

    Identifiers