Reflected Brownian motion in a cone: Semimartingale property

DOI10.1007/BF01375825MaRDI QIDQ1346971zbMATH OpenFDO

Authors Youngmee Kwon

Publication date 30 May 1995

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

semimartingalereflected Brownian motion

Mathematics Subject Classification ID

Diffusion processes (60J60) Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Martingales with continuous parameter (60G44)

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Cites work

• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 3456236 (Why is no real title available?)
• Brownian motion in a wedge with oblique reflection
• Convergence of stochastic processes
• Diffusion processes with boundary conditions
• Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant
• Random time changes and convergence in distribution under the Meyer-Zheng conditions
• Reflected Brownian Motion in a Cone with Radially Homogeneous Reflection Field
• Reflected brownian motion in a wedge: Semimartingale property
• Stochastic differential equations with reflecting boundary conditions
• The submartingale problem for Brownian motion in a cone with non-constant oblique reflection
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(7)

• scientific article; zbMATH DE number 1457301 (Why is no real title available?)
• Reflected brownian motion in a wedge: Semimartingale property
• The adjoint process of reflected brownian motion in a cone
• The adjoint process of killed reflected Brownian motion in a cone and applications
• The Semimartingale Structure of Reflecting Brownian Motion
• A boundary property of semimartingale reflecting Brownian motions
• The submartingale problem for Brownian motion in a cone with non-constant oblique reflection

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