A Skorokhod-type lemma and a decomposition of reflected Brownian motion

DOI10.1214/AOP/1176988280MaRDI QIDQ1897152zbMATHOpenAlexWikidataFDO

Authors K. Burdzy, Ellen H. Toby

Publication date 18 February 1998

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

Full work available at URL https://doi.org/10.1214/aop/1176988280

zbMATH Keywords

Brownian motiondiffusionreflectionSkorokhod lemma

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Functions of bounded variation, generalizations (26A45) Sample path properties (60G17)

Cited in

(9)

• The heat equation and reflected Brownian motion in time-dependent domains.
• The Skorokhod problem in a time-dependent interval
• Learning about profitability and dynamic cash management
• Existence and uniqueness of reflecting diffusions in cusps
• The Skorohod oblique reflection problem in time-dependent domains
• Characterization of stationary distributions of reflected diffusions
• A Dirichlet process characterization of a class of reflected diffusions
• On the roughness of the paths of RBM in a wedge
• Skew-Product Decomposition of Planar Brownian Motion and Complementability

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