Brownian motion reflected on Brownian motion

DOI10.1007/s004400100165zbMath0995.60078OpenAlexW2040555204MaRDI QIDQ1606053

David Nualart, Krzysztof Burdzy

Publication date: 29 July 2002

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1773/2217

zbMATH Keywords

local timesspace-time domainparabolic measure

Mathematics Subject Classification ID

Brownian motion (60J65) Heat equation (35K05)

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ON BOUNCING GEOMETRIC BROWNIAN MOTIONS ⋮ On directional derivatives of Skorokhod maps in convex polyhedral domains ⋮ The maximum of a Lévy process reflected at a general barrier ⋮ The Skorohod oblique reflection problem in time-dependent domains ⋮ The heat equation and reflected Brownian motion in time-dependent domains. II: Singularities of solutions. ⋮ Two Brownian particles with rank-based characteristics and skew-elastic collisions ⋮ An explicit formula for the Skorokhod map on \([0,a\)] ⋮ Càdlàg rough differential equations with reflecting barriers ⋮ A note on first passage probabilities of a L\'evy process reflected at a general barrier ⋮ A path-transformation for random walks and the Robinson-Schensted correspondence ⋮ The Skorokhod problem in a time-dependent interval ⋮ Pathwise differentiability of reflected diffusions in convex polyhedral domains

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