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

DOI10.1214/AOP/1176988280MaRDI QIDQ1897152zbMATH OpenOpenAlexWikidataFDO

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

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

Review text

A construction based on a new Skorokhod-type lemma of reflected Brownian motion in a two-dimensional thorn pointing downward is presented.

Cited in

(9)

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

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