Brownian motion in a wedge with variable reflection: Existence and uniqueness

DOI10.1214/AOP/1042644711MaRDI QIDQ1922071zbMATH OpenOpenAlexFDO

Authors Richard Dante DeBlassie

Publication date 7 November 1996

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

Full work available at URL https://doi.org/10.1214/aop/1042644711

zbMATH Keywords

conformal invariance property of Brownian motion Pick functions reflected Brownian motion variable reflection

Mathematics Subject Classification ID

Stochastic integrals (60H05) Diffusion processes (60J60)

Review text

The existence and uniqueness in law of Brownian motion in a wedge with variable reflection is proven. Let \(S\) be the wedge of angle \(\theta\in [0,\xi]\) in the polar coordinate system, \(\partial S_1= \{\theta=0\}\), \(\partial S_2= \{\theta= \xi\}\) and \(\theta(x)\), the reflecting angle measured clockwise from the inward normal at \(x\in\partial S\backslash \{0\}\), be taken bounded away from \(\pm {\pi\over 2}\) and the difference of the gradient of \(\theta(x)\) at \(x_1\) and \(x_2\) on \(\partial S_1\backslash \{0\}\) (and on \(\partial S_2 \backslash \{0\})\) be locally bounded by a constant multiplying \({\mathcal K} (|x_1-x_2 |)\) with \({{\mathcal K} (u)\over u}\) locally integrable. Instead of the usual assumption of \(\theta(x)\) having limiting values as \(x\to 0\) along \(\partial S_1\) and \(\partial S_2\), respectively, a very weak condition is assumed for \(\theta(x)\), i.e. \(\exists \varepsilon>0\), such that \[ \biggl[\sup_{|x|\leq\varepsilon,x\in\partial S_2 \backslash \{0\}} \theta(x) \biggr]- \biggl[\inf_{|x|\leq \varepsilon,x \in\partial S_1 \backslash \{0\}} \theta(x) \biggr] <2\xi. \] As the first step of the proof, the pathwise uniqueness on the above setting with the nonsmooth nature of the state space and the reflection field at the origin is established by using the conformal invariance property of Brownian motion to reduce the domain to the half-space under some hypothesis and then making use of \textit{L. C. G. Rogers}' mapping [Trans. Am. Math. Soc. 326, No. 1, 227-236 (1991; Zbl 0748.60074)] constructed by the Pick function to twist the reflection upward and completing finally by the approach of \textit{P. Dubuis} and \textit{H. Ishii} [Ann. Probab. 21, No. 1, 554-580 (1993; Zbl 0787.60099)]. The key point and the difficult step is to show that the uniqueness of the corresponding submartingale problem in the case of this paper is followed from the pathwise uniqueness.

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