On a Brownian motion conditioned to stay in an open set (Q2026653)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a Brownian motion conditioned to stay in an open set |
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On a Brownian motion conditioned to stay in an open set (English)
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20 May 2021
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The Brownian motion conditioned to stay in an open set starting from a \(C^2\) point on the boundary is characterized as the solution to an Itô stochastic differential equation driven by the Brownian motion with a time-dependent drift.
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conditioned Brownian motion
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open set
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SDE
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