Uniqueness for reflecting Brownian motion in Lip domains (Q1775911)
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English | Uniqueness for reflecting Brownian motion in Lip domains |
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Uniqueness for reflecting Brownian motion in Lip domains (English)
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4 May 2005
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There is a considerable literature on the construction of reflecting Brownian motion in more or less smooth domains, with either oblique or normal reflection. The main result of the paper is a proof of strong existence and pathwise uniqueness of the Skorokhod equation in a planar Lipschitz domain whose Lipschitz constant is strictly less than one: what is normal reflection on the boundary must be carefully explicated. The authors also give a counterexample showing that there exists a Lipschitz domain in the three-dimensional space whose Lipschitz constant is strictly greater than one where weak uniqueness fails for the Skorokhod equation: here some conditions on the local times are not required any longer.
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Skorokhod equation
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local time
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Lipschitz domain
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weak uniqueness
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strong existence
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Pathwise uniqueness
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