On the roughness of the paths of RBM in a wedge

DOI10.1214/18-AIHP928MaRDI QIDQ2337835zbMATH OpenFDO

Authors Peter Lakner, Josh Reed, Bert Zwart

Publication date 20 November 2019

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.aihp/1569398879

zbMATH Keywords

\(p\)-variationDirichlet processextended Skorokhod problemreflected Brownian motion

Mathematics Subject Classification ID

Sample path properties (60G17) Stable stochastic processes (60G52) Continuous-time Markov processes on discrete state spaces (60J27) Local time and additive functionals (60J55) Brownian motion (60J65)

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Cited in

(7)

• Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant
• Markov selection for constrained martingale problems
• Stochastic decompositions in bivariate risk and queueing models with mutual assistance
• Probability of total domination for transient reflecting processes in a quadrant
• Reflected Brownian motion with drift in a wedge
• Diffusion limits in the quarter plane and nonsemimartingale reflected Brownian motion
• On the stationary distribution of reflected Brownian motion in a wedge: differential properties

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