On pathwise uniqueness for reflecting Brownian motion in C^1+ domains

DOI10.1214/08-AOP390MaRDI QIDQ2519684zbMATH OpenOpenAlexFDO

Authors Richard F. Bass, K. Burdzy

Publication date 27 January 2009

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

Full work available at URL https://arxiv.org/abs/0706.1993

zbMATH Keywords

harmonic functionslocal timepathwise uniquenessreflecting Brownian motionstrong solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Abstract: Pathwise uniqueness holds for the Skorokhod stochastic differential equation in $C^{1+gamma}$ domains in $mathbb{R}^d$ for $gamma>1/2$ and $dgeq3$.

Review text

Let \(X_t\) be a solution to the Skorokhod equation \[ X_t=X_0+W_t+\int_0^t{\mathbf n}(X_s)dL_s \] in a domain \(D\), where \(W_t\) is a \(d\)-dimensional Brownian motion, \({\mathbf n}\) is the inward pointing unit normal vector field on \(\partial D\) and \(L_t\) is the local time on \(\partial D\). When \(D\) is \(C^{1+\gamma}\), \(\gamma>1/2\), and \(d\geq 3\), pathwise uniqueness holds true. The last section of the paper displays a counterexample about a nearby stochastic differential equation with \(d=3\) and \(\gamma\in (0,1/2)\) where pathwise uniqueness does not hold any more.

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Cited in

(12)

• On the symmetry of a reflecting Brownian motion defined by Skorohod's equation for a multi-dimensional domain
• Uniqueness of Dirichlet forms associated with systems of infinitely many Brownian balls in \({\mathbb R}^ d\)
• Uniqueness for the Skorokhod equation with normal reflection in Lipschitz domains
• Pathwise uniqueness for reflecting Brownian motion in Euclidean domains
• Uniqueness for reflecting Brownian motion in Lip domains
• Reaction-diffusion on metric graphs: from 3D to 1D
• Pathwise uniqueness and non-explosion property of Skorohod SDEs with a class of non-Lipschitz coefficients and non-smooth domains
• scientific article; zbMATH DE number 3949441 (Why is no real title available?)
• Skorokhod decomposition for a reflected \(\mathcal{L}^p\)-strong Feller diffusion with singular drift
• Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
• Archimedes' principle for Brownian liquid
• On pathwise uniqueness for Brownian motion in a quadrant with oblique reflection

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