Existence and uniqueness of reflecting diffusions in cusps

DOI10.1214/18-EJP204MaRDI QIDQ1990215zbMATH OpenFDO

Authors C. Costantini, Thomas G. Kurtz

Publication date 25 October 2018

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1710.06281, https://projecteuclid.org/euclid.ejp/1536717743

zbMATH Keywords

cuspstochastic differential equationdiffusion processoblique reflectionboundary singularity

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17)

Abstract: We consider stochastic differential equations with (oblique) reflection in a $2$-dimensional domain that has a cusp at the origin, i..e. in a neighborhood of the origin has the form $(x_1,x_2):0<x_{1}leqdelt{a}_0,ps{i}_1(x_1)<x_2<ps{i}_2(x_1)$, with $ps{i}_1(0)=ps{i}_2(0)=0$, $ps{i_1}^{\prime }(0)=ps{i_2}^{\prime }(0)=0$. Given a vector field $gamma$ of directions of reflection at the boundary points other than the origin, defining directions of reflection at the origin $gamm{a}^i(0):=li{m}_{x_{1}ightarrow{0}^{+}}gamma(x_1,ps{i}_i(x_1))$, $i=1,2,$ and assuming there exists a vector $e^{\ast }$ such that $langle{e}^{\ast },gamm{a}^i(0)angle>0$, $i=1,2$, and $e_1^{\ast }>0$, we prove weak existence and uniqueness of the solution starting at the origin and strong existence and uniqueness starting away from the origin. Our proof uses a new scaling result and a coupling argument.

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Cited in

(12)

• Reflecting Brownian Motion in a Cusp
• Existence of pathwise unique Langevin processes on polytopes with perfect reflection at the boundary
• Existence and uniqueness of perturbed reflected jump diffusion processes
• Averaging for slow–fast piecewise deterministic Markov processes with an attractive boundary
• Markov selection for constrained martingale problems
• Construction and decomposition of reflecting diffusions on Lipschitz domains with Hölder cusps
• Semigroup-theoretic approach to diffusion in thin layers separated by semi-permeable membranes
• A reverse ergodic theorem for inhomogeneous killed Markov chains and application to a new uniqueness result for reflecting diffusions
• Reflected Brownian motion with drift in a wedge
• On singular control problems, the time-stretching method, and the weak-M1 topology
• Optimal dividend problem: asymptotic analysis
• Localization for constrained martingale problems and optimal conditions for uniqueness of reflecting diffusions in 2-dimensional domains

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