Hitting a boundary point by diffusions in the closed half space (Q1085897)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Hitting a boundary point by diffusions in the closed half space |
scientific article |
Statements
Hitting a boundary point by diffusions in the closed half space (English)
0 references
1986
0 references
For \(d\geq 2\) let \(G=\{x=(x_ 1,...,x_ d):x_ 1>0\}\), \(\partial G=\{x\in {\mathbb{R}}^ d:x_ 1=0\}\), and consider a diffusion \((X_ t,P_ x)\) in \(G\cup \partial G\) with certain Wentzell-type boundary conditions on \(\partial G\). For \(z\in \partial G\) let \(\partial B(z,\delta)=\{x:| x-z| =\delta \}\) and \(\tau_{\delta}=\inf \{t: X_ t=\partial B(z,\delta)\}\). The main result of the paper is that for all x such that \(0<| x-z| \leq \delta\) \[ \lim_{c\downarrow 0}P_ x(\tau_{\delta}<\tau_ c)=1. \] This is proved under two different sets of conditions for the generators of X. In the first case it is assumed that the second order terms in the boundary condition vanish. Under this assumption it is seen that the problem can be reduced to the case of normal reflection.
0 references
hitting a point
0 references
Wentzell-type boundary conditions
0 references
reflection
0 references
0 references
0 references
0 references