Existence and uniqueness of reflecting diffusions in cusps

DOI10.1214/18-EJP204zbMATH Open1414.60069arXiv1710.06281MaRDI QIDQ1990215FDOQ1990215

Authors: C. Costantini, Thomas G. Kurtz 

Publication date: 25 October 2018

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

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.

Full work available at URL: https://arxiv.org/abs/1710.06281

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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)

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Cited In (12)

• Existence and uniqueness of perturbed reflected jump diffusion processes
• Existence of pathwise unique Langevin processes on polytopes with perfect reflection at the boundary
• 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
• Reflecting Brownian Motion in a Cusp

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