A Dirichlet process characterization of a class of reflected diffusions

DOI10.1214/09-AOP487MaRDI QIDQ984443zbMATH OpenFDO

Authors Weining Kang, Kavita Ramanan

Publication date 19 July 2010

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.2106

zbMATH Keywords

rough pathsdiffusion approximationsreflected Brownian motionsemimartingalesDirichlet processesSkorokhod problemreflected diffusionsgeneralized processor sharingextended Skorokhod problemSkorokhod mapzero energy

Mathematics Subject Classification ID

Brownian motion (60J65) Sample path properties (60G17) Local time and additive functionals (60J55)

Abstract: For a class of stochastic differential equations with reflection for which a certain ${mathbbL}^p$ continuity condition holds with $p>1$, it is shown that any weak solution that is a strong Markov process can be decomposed into the sum of a local martingale and a continuous, adapted process of zero $p$-variation. When $p=2$, this implies that the reflected diffusion is a Dirichlet process. Two examples are provided to motivate such a characterization. The first example is a class of multidimensional reflected diffusions in polyhedral conical domains that arise as approximations of certain stochastic networks, and the second example is a family of two-dimensional reflected diffusions in curved domains. In both cases, the reflected diffusions are shown to be Dirichlet processes, but not semimartingales.

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